Subordinated Market Index Models: A Comparison

The paper compares various processes subordinated to the Wiener process to model the leptokurtic characteristics of index returns. Empirical analysis is performed on the Dow Jones and Nikkei 225 indexes. A good model to capture the typical tail behaviour of these indexes turns out to be a long Student t distributed one. Copyright Kluwer Academic Publishers 1997

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Year of publication:	1997
Authors:	HURST, SIMON ; PLATEN, ECKHARD ; RACHEV, SVETLOZAR
Published in:	Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 4.1997, 2, p. 97-124
Publisher:	Springer
Subject:	Asset price model \| subordination \| leptokurtic \| Student t distribution \| symmetric generalised hyperbolic distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005727088