Search Results - subject:"diversified world stock index"

Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index

Ignatieva, Katja; Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2010

of a well diversified world stock index. The paper uses the equi-weighted index EWI104s, calculated as the average of 104 …

Persistent link: https://www.econbiz.de/10008492097

Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices

Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2007

The aim of this paper is to document some empirical facts related to log-returns of diversified world stock indices when these are denominated in different currencies. Motivated by earlier results, we have obtained the estimated distribution of log-returns for a range of world stock indices over...

Persistent link: https://www.econbiz.de/10004984480

Estimating the diffusion coefficient function for a diversified world stock index

Ignatieva, Katja; Platen, Eckhard - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1333-1349

diversified world stock index (WSI). We use the nonparametric kernel-based estimation to empirically identify a square root type …

Persistent link: https://www.econbiz.de/10010574471