Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach

This paper reports a new methodology and results on the forecast of the numerical value of the fat tail(s) in asset returns distributions using the irrational fractional Brownian motion model. Optimal model parameter values are obtained from fits to consecutive daily 2-year period returns of S&P...

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Bibliographic Details
Published in:	Annals of operations research Vol. 299; no. 1-2; pp. 1397 - 1410
Main Authors:	Dhesi, Gurjeet, Shakeel, Bilal, Ausloos, Marcel
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Subjects:	Brownian motion Business and Management Combinatorics Distribution Econometrics Economic forecasting Economic models Efficient markets Financial instruments Financial markets Forecasts and trends Kurtosis Management Mathematical models Normal distribution Operations research Operations Research/Decision Theory Parameters Random variables Regression analysis Return on assets S.I. : Recent Developments in Financial Modeling and Risk Management Securities markets Theory of Computation United Kingdom Asset pricing (G17) Financial econometrics (C58) Financial forecasting and simulation (G12) Simulation modelling (C63)
ISSN:	0254-5330, 1572-9338
Online Access:	Get full text
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