Exponential distribution of financial returns at mesoscopic time lags: A new stylized fact

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 227-235

  Silva, A Christian ^a   Prange, Richard E ^a   Yakovenko, Victor M ^a  

^a Bldg 142   (United States)

Author keywords

Econophysics; Empirical characteristic function; Exponential distribution; Heston model; Stochastic volatility; Stock market returns; Stylized facts

Indexed keywords

APPROXIMATION THEORY; FUNCTIONS; GRAPH THEORY; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES;

ECONOPHYSICS; STOCHASTIC VOLATILITY; STOCK MARKET RETURNS;

INDUSTRIAL ECONOMICS;

EID: 5444221474     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.122     Document Type: Conference Paper

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