Stock returns and hyperbolic distributions

DOI10.1016/S0895-7177(99)00088-6MaRDI QIDQ699418zbMATH OpenFDO

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)

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)

Recommendations

• Hyperbolic distributions in finance
• scientific article; zbMATH DE number 5583464
• A comparison of generalized hyperbolic distribution models for equity returns
• Non-Gaussian distribution for stock returns and related stochastic differential equation
• The likelihood of various stock market return distributions. II: Empirical results
• Volume and the nonlinear dynamics of stock returns

Cites work

• scientific article; zbMATH DE number 3947490 (Why is no real title available?)
• scientific article; zbMATH DE number 1188957 (Why is no real title available?)
• scientific article; zbMATH DE number 3770749 (Why is no real title available?)
• scientific article; zbMATH DE number 53363 (Why is no real title available?)
• scientific article; zbMATH DE number 3600847 (Why is no real title available?)
• scientific article; zbMATH DE number 3287297 (Why is no real title available?)
• A Note on Electrical Networks and the Inverse Gaussian Distribution
• A hyperbolic diffusion model for stock prices
• Brownian motion in the stock market
• Hyperbolic distributions in finance
• Modeling asset returns with alternative stable distributions^*
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Portfolio Analysis in a Stable Paretian Market
• Processes of normal inverse Gaussian type
• Stock returns and hyperbolic distributions
• The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
• The pricing of options and corporate liabilities

Cited in

(20)

• Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
• Modeling and simulation of financial returns under non-Gaussian distributions
• scientific article; zbMATH DE number 5583464 (Why is no real title available?)
• A snakes and ladders representation of stock prices and returns
• Warp statistics and financial returns
• Non-Gaussian distribution for stock returns and related stochastic differential equation
• A method for approximate inversion of the hyperbolic CDF
• A comparison of generalized hyperbolic distribution models for equity returns
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
• Closed-form approximations for spread options in Lévy markets
• Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
• Hyperbolic distributions in finance
• Non-linear properties of conditional returns under scale mixtures
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• Distribution of volume on the German Stock Market
• Stock returns and hyperbolic distributions
• Goodness-of-fit tests for the hyperbolic distribution
• Models for stock returns
• Dimension reduction for pricing options under multidimensional Lévy processes
• Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions

This page was built for publication: Stock returns and hyperbolic distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q699418)