A generalized normal mean-variance mixture for return processes in finance (Q3580217)
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scientific article; zbMATH DE number 5769262
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A generalized normal mean-variance mixture for return processes in finance |
scientific article; zbMATH DE number 5769262 |
Statements
A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE (English)
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11 August 2010
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asset pricing model
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multivariate normal mean-variance mixture
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univariate subordination
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Lévy processes
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generalized hyperbolic distribution
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0.7706770896911621
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0.7621163725852966
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0.758813738822937
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0.7485438585281372
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0.7421978116035461
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