A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
Ahmet Göncü, Mehmet Oğuz Karahan, Tolga Umut Kuzubaş
| Year of publication: |
April 2016
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| Authors: | Göncü, Ahmet ; Karahan, Mehmet Oğuz ; Kuzubaş, Tolga Umut |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 36.2016, p. 69-83
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| Subject: | Variance-gamma model | Normal-inverse gaussian model | Generalized hyperbolic model | Heston model | Markov regime-switching model | Emerging markets | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Schwellenländer | Emerging economies | Aktienindex | Stock index | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2015.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011672611