Models for Heavy-tailed Asset Returns

By Szymon Borak, Adam Misiorek, Rafal Weron. 2010

74 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e495a8dbc81e8a6507b5a7ecabbc32e6045bdbd2

Citations in the corpus

• Subordinated a -stable OrnsteinUhlenbeck process as a tool for financial data description (2011, unknown): “they exhibit the power-law behavior, [11].”