Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact
Author:
Publisher
Elsevier BV
Subject
Condensed Matter Physics,Statistics and Probability
Reference14 articles.
1. Theory of Financial Risks;Bouchaud,2000
2. Scaling of the distribution of price fluctuations of individual companies
3. Scaling of the distribution of fluctuations of financial market indices
4. Probability distribution of returns in the Heston model with stochastic volatility*
5. Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
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