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Search: subject:"Log-return distribution"
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log-return distribution
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Cumulant
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Exponentially tilted stable distribution
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Functional limit theorem
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Log-return distribution
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Moment method
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Option pricing theory
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Optionspreistheorie
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Statistical distribution
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Statistische Verteilung
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Student t distribution
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Student-t distribution
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Wasserstein distance
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diversified world stock index
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generalised hyperbolic distribution
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generalized hyperbolic distribution
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growth optimal portfolio
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likelihood ratio test
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Platen, Eckhard
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Asmussen, Søren
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Rendek, Renata
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Finance Discipline Group, Business School
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Research Paper Series / Finance Discipline Group, Business School
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Finance and stochastics
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ECONIS (ZBW)
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On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
Asmussen, Søren
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 383-416
Persistent link: https://www.econbiz.de/10013440228
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2
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
Platen, Eckhard
;
Rendek, Renata
-
Finance Discipline Group, Business School
-
2007
-t distribution with about four degrees of freedom as the typical estimated
log-return
distribution
of such indices. Owing to the …
Persistent link: https://www.econbiz.de/10004984480
Saved in:
3
On the
Log-Return
Distribution
of Index Benchmarked Share Prices
Platen, Eckhard
-
Finance Discipline Group, Business School
-
1999
symmetric generalised hyperbolic distributions. A share market model that generates share prices with the observed
log-return
…
distribution
is also described. …
Persistent link: https://www.econbiz.de/10004984611
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