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...

A method of jointly estimating the time-dependent variance of daily commodity price changes and their distribution is presented. The data are copper spot prices (1966-74) and sugar futures prices (1961-73), for London contracts. Much of the leptokurtosis observed in the price change...