Grabchak, Michael; Samorodnitsky, Gennady - In: Quantitative Finance 10 (2010) 8, pp. 883-893
One of the major points of contention in studying and modelling financial returns is whether or not the variance of the … world). A different formulation of the question asks how heavy the tails of the financial returns are. The available …, for financial returns, a natural family of models are those with tempered heavy tails. These models can generate …