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Year of publication
Subject
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Generalised hyperbolic distribution 3 Statistical distribution 3 Statistische Verteilung 3 Theorie 3 Theory 3 Asymmetry 2 Correlation 2 Generalised Hyperbolic Distribution 2 Modelos de series temporales 2 Risikomaß 2 Risk measure 2 Student t distribution 2 generalised hyperbolic distribution 2 ARCH model 1 ARCH-Modell 1 Asset price model 1 Capital income 1 Christoffersen 1 Conditional tail risk measures 1 Distribution 1 Estimation 1 GARCH 1 Gaussian mixtures 1 Generalised hyperbolic 1 Generalised logF distribution 1 Generalized Inverse Gaussian distribution 1 Gold 1 Insurance 1 Kapitaleinkommen 1 Kupiec test 1 Maximum Likelihood 1 Maximum likelihood 1 Measurement 1 Messung 1 Modelización econométrica 1 Modellierung 1 Multifactor Models 1 Multifactor models 1 Multivariate Verteilung 1 Multivariate distribution 1
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Online availability
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Free 5 Undetermined 4
Type of publication
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Article 5 Book / Working Paper 4 Other 2
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 8 Undetermined 3
Author
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Mencía, Javier 3 Sentana, Enrique 3 Ignatieva, Ekaterina 2 Mencía González, Javier 2 Alexeev, Vitali 1 Behr, Andreas 1 Chikobvu, Delson 1 Chinhamu, Knowledge 1 HURST, SIMON 1 Landsman, Zinoviy 1 Liyanage, Thusitha 1 PLATEN, ECKHARD 1 Platen, Eckhard 1 Pötter, Ulrich 1 RACHEV, SVETLOZAR 1
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Institution
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Banco de España 2 Centro de Estudios Monetarios y Financieros (CEMFI) 1 Finance Discipline Group, Business School 1
Published in...
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Banco de España Working Papers 2 Annals of Finance 1 Asia-Pacific Financial Markets 1 Insurance / Mathematics & economics 1 Journal of economic and financial sciences 1 Research Paper Series / Finance Discipline Group, Business School 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1 Working Papers / Centro de Estudios Monetarios y Financieros (CEMFI) 1
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Source
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RePEc 6 ECONIS (ZBW) 3 BASE 2
Showing 11 - 11 of 11
Cover Image
Subordinated Market Index Models: A Comparison
HURST, SIMON; PLATEN, ECKHARD; RACHEV, SVETLOZAR - In: Asia-Pacific Financial Markets 4 (1997) 2, pp. 97-124
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...
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