A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
Year of publication: |
April 2016
|
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Authors: | Göncü, Ahmet ; Karahan, Mehmet Oğuz ; Kuzubaş, Tolga Umut |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 36.2016, p. 69-83
|
Subject: | Variance-gamma model | Normal-inverse gaussian model | Generalized hyperbolic model | Heston model | Markov regime-switching model | Emerging markets | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Aktienindex | Stock index | Schwellenländer | Emerging economies | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Volatilität | Volatility |
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