Leonenko, Nikolai N., Petherick, Stuart Gary and Sikorskii, A. 2011. The student subordinator model with dependence for risky asset returns. Communications in Statistics - Theory and Methods 40 (19-20) , pp. 3509-3523. 10.1080/03610926.2011.581175 |
Official URL: http://www.tandfonline.com/doi/abs/10.1080/0361092...
Abstract
A new, tractable model of the stock price due to Heyde ( 1999 ) see also Heyde and Leonenko, 2005 is elaborated here and used for asset price movement. The model is driven by a Brownian motion, which has a “fractal clock” rather than a calendar clock. We incorporate the Student's t-distribution, and a special dependence structure is introduced through the construction of this fractal time. The Student model described has desired features supported by real financial data.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Mathematics |
Subjects: | Q Science > QA Mathematics |
Publisher: | Taylor & Francis |
ISSN: | 1532-415X |
Last Modified: | 20 Oct 2017 17:22 |
URI: | https://orca.cardiff.ac.uk/id/eprint/18739 |
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