Most of the papers that study the distributional and fractal properties of financial instruments focus on stock prices or foreign exchange rates. This typically leads to mixed results concerning the distributions of log-returns and some multi-fractal properties of exchange rates, stock prices,...

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...

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...

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...