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...