The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.
| ISBN: | 9780471953142 |
| Publication date: | 25th April 2000 |
| Author: | Svetlozar T. (University of California) Rachev, Stefan (University of Kiel, Germany) Mittnik |
| Publisher: | John Wiley & Sons Inc |
| Format: | Hardback |
| Pagination: | 896 pages |
| Series: | Financial Economics and Quantitative Analysis Series |
| Genres: |
Investment and securities Econometrics and economic statistics |