On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
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Publication:5489325
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
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- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
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- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A benchmark approach to filtering in finance
- A structure for general and specific market risk
- Arbitrage in continuous complete markets
- Diversified portfolios with jumps in a benchmark framework
- Financial data and the skewed generalized \(t\) distribution
- Linear Statistical Inference and its Applications
- MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
- Stochastic Volatility for Lévy Processes
- The pricing of options and corporate liabilities
Cited in
(28)- Stable Paretian versus student's \(t\) stock market hypothesis
- Characterizations of Student's \(t\)-distribution via regressions of order statistics
- Unimodal density estimation using Bernstein polynomials
- Empirical evidence on Student-t log-returns of diversified world stock indices
- Regression revisited
- Universality in PSI20 fluctuations
- Universality in the stock exchange market
- Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
- Selecting from among 12 alternative distributions of financial data
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Problems of mathematical finance by stochastic control methods
- Quantile mechanics
- Financial power laws: empirical evidence, models, and mechanisms
- A conditional distribution model for limited stock index returns
- A new variability order based on tail-heaviness
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
- Local volatility function models under a benchmark approach
- Modeling the distribution of day-ahead electricity returns: a comparison
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student's \(t\)-distribution
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Financial Data Analysis with Two Symmetric Distributions
- The Distribution of Stock Returns When the Market Is Up
- Testing variability orderings by using Gini's mean differences
- Dynamic asset allocation for target date funds under the benchmark approach
- A practical implementation of weighted kernel density estimation for handling shape constraints
- Quantile mechanics II: Changes of variables in Monte Carlo methods and GPU-optimised normal quantiles
- Review of asset return distribution and its application
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