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
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
Journal title :
Applied Mathematics Letters
