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Using empirical mode decomposition to compare Gaussian and Non-Gaussian model of stock price distribution

Guhathakurta, Kousik; Bhattacharya, Basabi; Roy … - In: Decision 37 (2010) 1, pp. 101-122

Persistent link: https://www.econbiz.de/10008657225

Nonlinear correlation of stock and commodity indices in emerging and developed market

Guhathakurta, Kousik; Banerjee, Santo; Bhattacharya, … - In: Chaos and complexity theory for management : nonlinear …, (pp. 63-87). 2013

Persistent link: https://www.econbiz.de/10009664842

Comparative analysis of asset pricing models based on log-normal distribution and Tsallis distribution using recurrence plot in an emerging market

Guhathakurta, Kousik; Bhattacharya, Basabi; Roy … - In: Research in finance 32 (2016), pp. 35-73

Persistent link: https://www.econbiz.de/10011691494

Comparative Analysis of Asset Pricing Models Based on Log-Normal Distribution and Tsallis Distribution using Recurrence Plot in an Emerging Market

Guhathakurta, Kousik; Bhattacharya, Basabi; Roy … - In: The spread of financial sophistication through emerging …, (pp. 35-73). 2016

It has long been challenged that the distributions of empirical returns do not follow the log-normal distribution upon which many celebrated results of finance are based including the Black–Scholes Option-Pricing model. Borland (2002) succeeds in obtaining alternate closed form solutions for...

Persistent link: https://www.econbiz.de/10015365876