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

DOI10.1007/BF00868083MaRDI QIDQ1000402zbMATH OpenWikidataFDO

Authors Yuichi Nagahara

Publication date 6 February 2009

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

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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• ON CERTAIN NON-NORMAL SYMMETRICAL FREQUENCY DISTRIBUTIONS
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Quantitative methods for portfolio analysis. MTV model approach
• Some problems arising in approximating to probability distributions, using moments
• Statistical Identification of Nonlinear Random Vibration Systems

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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