This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns. We show based on the goodness-of-fit testing that...

The aim of this paper is to model the dependency among log-returns when security account prices are expressed in units of a well diversified world stock index. The paper uses the equi-weighted index EWI104s, calculated as the average of 104 world industry sector indices. The log-returns of its...

The paper derives a parsimonious model for the long-term dynamics of a well-diversified stock index, the S&P500. The index is modeled as growth optimal portfolio. Its normalized value evolves, in some market time, as a square root process. The derivative of market time is a linear function of...

This paper deals with the estimation of continuous-time diffusion processes which model the dynamics of a well diversified world stock index (WSI). We use nonparametric kernel-based estimation to empirically identify a square root type diffusion coefficient function in the dynamics of the...