Conditionally exponential dependence model for asset returns

S. T. Rachev, A. Weron, K. Weron

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

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.

Original languageEnglish
Pages (from-to)5-9
Number of pages5
JournalApplied Mathematics Letters
Volume10
Issue number1
DOIs
StatePublished - Jan 1997

Keywords

  • Asset returns
  • Financial modeling
  • Pareto distributions
  • Stochastic CED systems
  • Weibull distributions

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