Conditionally exponential dependence model for asset returns

S. T. Rachev; A. Weron; K. Weron

doi:10.1016/S0893-9659(96)00102-4

Conditionally exponential dependence model for asset returns

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

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

5 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 language	English
Pages (from-to)	5-9
Number of pages	5
Journal	Applied Mathematics Letters
Volume	10
Issue number	1
DOIs	https://doi.org/10.1016/S0893-9659(96)00102-4
State	Published - Jan 1997

Keywords

Asset returns
Financial modeling
Pareto distributions
Stochastic CED systems
Weibull distributions

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10.1016/S0893-9659(96)00102-4

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title = "Conditionally exponential dependence model for asset returns",

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.",

keywords = "Asset returns, Financial modeling, Pareto distributions, Stochastic CED systems, Weibull distributions",

author = "Rachev, {S. T.} and A. Weron and K. Weron",

year = "1997",

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KW - Asset returns

KW - Financial modeling

KW - Pareto distributions

KW - Stochastic CED systems

KW - Weibull distributions

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JO - Applied Mathematics Letters

JF - Applied Mathematics Letters

SN - 0893-9659

IS - 1

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Conditionally exponential dependence model for asset returns

Abstract

Keywords

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