Subordinated Market Index Models: A Comparison
Year of publication: |
1997
|
---|---|
Authors: | HURST, SIMON ; PLATEN, ECKHARD ; RACHEV, SVETLOZAR |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 4.1997, 2, p. 97-124
|
Publisher: |
Springer |
Subject: | Asset price model | subordination | leptokurtic | Student t distribution | symmetric generalised hyperbolic distribution |
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