Subordinated Market Index Models: A Comparison

Simon Hurst (), Eckhard Platen () and Svetlozar Rachev ()

Asia-Pacific Financial Markets, 1997, vol. 4, issue 2, 97-124

Abstract: The paper compares various processes subordinated to the Wiener process to model the leptokurtic characteristics of index returns. Empirical analysis is performed on the Dow Jones and Nikkei 225 indexes. A good model to capture the typical tail behaviour of these indexes turns out to be a long Student t distributed one. Copyright Kluwer Academic Publishers 1997

Keywords: Asset price model; subordination; leptokurtic; Student t distribution; symmetric generalised hyperbolic distribution (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (29)

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DOI: 10.1023/A:1009650313980

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