Stock returns and hyperbolic distributions

DOI10.1016/S0895-7177(99)00088-6zbMATH Open0999.62085MaRDI QIDQ699418FDOQ699418

Authors: K. Neumann, A. Streller, Uwe Küchler, Michael Sørensen 

Publication date: 6 October 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

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zbMATH Keywords

diffusion processesstock returnsdistributional shapeGerman stock markethyperbolic distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Stock returns and hyperbolic distributions

Cited In (18)

• Title not available (Why is that?)
• Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
• Stock returns and hyperbolic distributions
• Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
• Warp statistics and financial returns
• Hyperbolic distributions in finance
• A method for approximate inversion of the hyperbolic CDF
• Non-Gaussian distribution for stock returns and related stochastic differential equation
• Modeling and simulation of financial returns under non-Gaussian distributions
• A snakes and ladders representation of stock prices and returns
• Dimension reduction for pricing options under multidimensional Lévy processes
• Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
• Non-linear properties of conditional returns under scale mixtures
• Distribution of volume on the German Stock Market
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• Goodness-of-fit tests for the hyperbolic distribution
• Closed-form approximations for spread options in Lévy markets
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

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