The student subordinator model with dependence for risky asset returns

Leonenko, Nikolai N., Petherick, Stuart Gary and Sikorskii, A. 2011. The student subordinator model with dependence for risky asset returns. Communications in Statistics - Theory and Methods 40 (19-20) , pp. 3509-3523. 10.1080/03610926.2011.581175

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Abstract

A new, tractable model of the stock price due to Heyde ( 1999 ) see also Heyde and Leonenko, 2005 is elaborated here and used for asset price movement. The model is driven by a Brownian motion, which has a “fractal clock” rather than a calendar clock. We incorporate the Student's t-distribution, and a special dependence structure is introduced through the construction of this fractal time. The Student model described has desired features supported by real financial data.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Subjects:	Q Science > QA Mathematics
Publisher:	Taylor & Francis
ISSN:	1532-415X
Last Modified:	20 Oct 2017 17:22
URI:	https://orca.cardiff.ac.uk/id/eprint/18739

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