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 | |
| State | Published - Jan 1997 |
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Keywords
- Asset returns
- Financial modeling
- Pareto distributions
- Stochastic CED systems
- Weibull distributions
Cite this
Rachev, S. T., Weron, A., & Weron, K. (1997). Conditionally exponential dependence model for asset returns. Applied Mathematics Letters, 10(1), 5-9. https://doi.org/10.1016/S0893-9659(96)00102-4