Do financial returns have finite or infinite variance? A paradox and an explanation

DOI10.1080/14697680903540381MaRDI QIDQ3063854zbMATH OpenOpenAlexFDO

Authors Michael Grabchak, Gennady Samorodnitsky

Publication date 15 December 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680903540381

zbMATH Keywords

Bachelier-Samuelson modelfinancial returnsfinite varianceheavy tailsinfinite varianceMandelbrot model

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1235892 (Why is no real title available?)
• scientific article; zbMATH DE number 1324223 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Pre-limit theorems and their applications
• Stochastic Volatility for Lévy Processes
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
• Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not?

Cited in

(26)

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• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Rejection sampling for tempered Lévy processes
• Inversions of Lévy measures and the relation between long and short time behavior of Lévy processes
• On the impact of semidefinite positive correlation measures in portfolio theory
• Discussion of `On simulation and properties of the stable law' by Devroye and James
• On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
• PELVE: probability equivalent level of VaR and ES
• Estimation and simulation for multivariate tempered stable distributions
• Limit theorems and phase transitions for two models of summation of iid random variables depending on parameters
• Domains of attraction for positive and discrete tempered stable distributions
• Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
• On a new class of tempered stable distributions: moments and regular variation
• Intermediate efficiency of some weighted goodness-of-fit statistics
• On the simulation of general tempered stable Ornstein–Uhlenbeck processes
• Detection of non-Gaussianity
• Limit theorems and phase transitions for two models of summation of independent identically distributed random variables with a parameter
• Good deals in markets with friction
• Modeling and simulation of financial returns under non-Gaussian distributions
• Multivariate asset-pricing model based on subordinated stable processes
• Introducing and testing the Carr model of default
• On approximations of subordinators in L^p and the simulation of tempered stable distributions

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