Sánchez, José Carlos Ramirez - In: Revista de Analisis Economico – Economic Analysis Review 19 (2004) 1, pp. 51-76
This paper deals with the main theoretical problems regarding the application of stochastic processes to leptokurtic financial return distributions. A sort of statistical tests based on the stock index Banamex 30 is performed in order to choose the stochastic model that provides the best fit to...
