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Subordinated Market Index Models: A Comparison |
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| Authors: | SIMON R. HURST ECKHARD PLATEN SVETLOZAR T. RACHEV |
| Affiliation: | (1) Centre for Financial Mathematics, School of Mathematical Sciences, The Australian National University, Canberra, ACT, 0200, Australia;(2) Department of Statistics and Applied Probability, University of California, Santa Barbara, CA, 93106-3110, USA. |
| Abstract: | The paper compares various processes subordinated to the Wiener process tomodel the leptokurtic characteristics of index returns. Empirical analysisis performed on the Dow Jones and Nikkei 225 indexes. A good model to capturethe typical tail behaviour of these indexes turns out to be a long Studentt distributed one. |
| Keywords: | Asset price model subordination leptokurtic Student t distribution symmetric generalised hyperbolic distribution |
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