2015
DOI: 10.3326/fintp.39.4.4
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Heavy-tailed modeling of CROBEX

Abstract: Classical continuous-time models for log-returns usually assume their independence and normality of distribution. However, nowadays it is widely accepted that the empirical properties of log-returns often show a specific correlation structure and deviation from normality, in most cases suggesting that their distribution is heavy-tailed. Therefore we suggest an alternative continuous-time model for logreturns, a diffusion process with Student's marginal distributions and exponentially decaying autocorrelation s… Show more

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