scientific article; zbMATH DE number 1124634

zbMATH Open0937.62107MaRDI QIDQ4378664FDOQ4378664

Authors: Simon R. Hurst, Eckhard Platen 

Publication date: 14 June 2000

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Student-\(t\) distributionleptokurtosismixture distributionsquadratic variation processasset price model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (26)

• Title not available (Why is that?)
• Stable Paretian versus student's \(t\) stock market hypothesis
• A generalized skewness statistic for stationary ergodic martingale differences
• Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
• Optimal design approach to GMM estimation of parameters based on empirical transforms
• Statistical regularities in the return intervals of volatility
• The distribution of cross sectional momentum returns
• Intraday empirical analysis and modeling of diversified world stock indices
• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
• A structure for general and specific market risk
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• Fitting the variance-gamma model to financial data
• Fitting financial returns distributions: a mixture normality approach
• Non-linear properties of conditional returns under scale mixtures
• A comparison of the GB2 and skewed generalized log-t distributions with an application in finance
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
• Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors.
• Detecting multifractal stochastic processes under heavy-tailed effects
• On the controversy over tailweight of distributions.
• \(W_2\) barycenters for radially related distributions
• Testing for (in)finite moments
• Multi-stock portfolio optimization under prospect theory
• Testing for the generalized normal-Laplace distribution with applications
• Student processes
• A BENCHMARK APPROACH TO FINANCE
• Modelling co-movements and tail dependency in the international stock market via copulae

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