Year: 1997
Type: book-chapter
Abstract: The aim of the paper is to identify a distribution that best fits empirical asset returns.By assuming a normal-variance mixture distribution for the returns, the distribution of volatility is implied.
Source: Lecture notes-monograph series
Authors: Simon R. Hurst, Eckhard Platen
Institution: Australian National University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1521322893