Silva, A. Christian; Yakovenko, Victor M. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 303-310
We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Drăgulescu and Yakovenko for the Heston model with stochastic variance. For the period of 1982–1999, we find a very good...