Title of article
Conditionally exponential dependence model for asset returns Original Research Article
Author/Authors
S.T. Rachev، نويسنده , , A. Weron، نويسنده , , K. Weron، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
5
From page
5
To page
9
Abstract
A new model for asset returns is introduced to accommodate markets with some arbitrage opportunities. It concerns capital market systems in which the conditionally exponential dependence (CED) property can be attached to each investor. Universal characteristics of global returns are derived.
Keywords
Financial modeling , Stochastic CED systems , Weibull distributions , Pareto distributions , Asset returns
Journal title
Applied Mathematics Letters
Serial Year
1997
Journal title
Applied Mathematics Letters
Record number
896454
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