Article citationsMore>>

Barndorff-Nielsen, O. (1977) Exponentially Decreasing Distributions for Logarithms of Particle Size. Proceedings of the Royal Society London Series A, 353, 401-419.

has been cited by the following article:

• TITLE: Modeling Returns and Unconditional Variance in Risk Neutral World for Liquid and Illiquid Market

  AUTHORS: Ivivi Joseph Mwaniki

  KEYWORDS: AR-APARCH, Lévy Increments, Generalized Hyperbolic Distribution, Normal Inverse Gaussian, Illiquid Market

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.1, January 28, 2015

  ABSTRACT: This article seeks to model daily asset returns using log-ARCH-Lévy type model which is expected to reproduce most of the stylized features of financial time series data (such as volatility clustering, leptokurtic nature of log returns, joint covariance structure and aggregational Gaussianity) that are empirically found in different types of market. In addition, unconditional variance of daily log returns in risk neutral world of different conditional heteroscedastic models is derived. A key observation is that liquid markets and illiquid market may not have the same underlying dynamics. For instance empirical analysis based on S&P500 index log returns as a liquid market do not have autoregressive part in their first moments while in Nairobi Securities Exchange NSE20 index there is strong presence of autoregressive dynamics of order three, i.e. AR(3). Higher moments of both markets are serially correlated.