Chapterbronze1997

The marginal distributions of returns and volatility

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

The aim of the paper is to identify a distribution that best fits empirical asset returns.By assuming a normal-variance mixture distribution for the returns, the distribution of volatility is implied.

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References

1965The Behavior of Stock-Market Prices 2016Numerical solution of stochastic differential equations 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1990The Variance Gamma (V.G.) Model for Share Market Returns 1987Limit Theorems for Stochastic Processes 1995Hyperbolic Distributions in Finance

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2004MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX

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