Conditionally exponential dependence model for asset returns

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

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


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
Issue number1
StatePublished - Jan 1997


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


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