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Models for Heavy tailed Asset Returns

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Figure

Figure 1.1: Left panel: Returns log(Xt+1/Xt) of the DJIA daily closing valuesXt from the period January 3, 2000 – December 31, 2009
Figure 1.2: Left panel: A semi-logarithmic plot of symmetric (β = µ = 0)stable densities for four values of α
Figure 1.3: Top panels: Semilog and loglog plots of symmetric 1.7-stable, sym-metric tempered stable (TSD) with α = 1.7 and λ = 0.2, andGaussian pdfs
Figure 1.4: Densities and log-densities of symmetric hyperbolic, TSD, NIG, andGaussian distributions having the same variance, see eqns
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