Showing 1 - 10 of 55
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10009576319
Persistent link: https://www.econbiz.de/10003385567
Persistent link: https://www.econbiz.de/10009514126
Persistent link: https://www.econbiz.de/10003644932
Persistent link: https://www.econbiz.de/10001152164
Persistent link: https://www.econbiz.de/10010222105
Persistent link: https://www.econbiz.de/10000812408
Persistent link: https://www.econbiz.de/10001366885
Persistent link: https://www.econbiz.de/10001101731
Persistent link: https://www.econbiz.de/10011485010