Financial Modeling Under Non-Gaussian Distributions

• Main Authors: Jondeau, Eric (Author), Poon, Ser-Huang (Author), Rockinger, Michael (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: London : Springer London, 2007.
• Series: Springer Finance
• Subjects: Mathematics.; Economics, Mathematical.; Statistics.; Econometrics.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.

Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the Gaussian or normal distribution. Indeed, the use of Gaussian models when the asset return distributions are not normal could lead to a wr...