Non-Gaussian distribution for stock returns and related stochastic differential equation

DOI10.1007/BF00868083zbMATH Open1153.91601WikidataQ115394864 ScholiaQ115394864MaRDI QIDQ1000402FDOQ1000402

Authors: Yuichi Nagahara 

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

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zbMATH Keywords

risk managementlocal linearization methodtype VII and IV family of Pearson system

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Statistical methods; economic indices and measures (91B82)

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Cited In (8)

• Prediction-based estimating functions: review and new developments
• Stock returns and hyperbolic distributions
• High-order approximation of Pearson diffusion processes
• A method of calculating the downside risk by multivariate nonnormal distributions
• Inducing normality from non-Gaussian long memory time series and its application to stock return data
• A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
• Optimal approximation by one Gaussian function to probability density functions
• Stochastic calculus for assets with non-Gaussian price fluctuations

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