# Non stationarity of high order return distribution moments and their Irrational fractional Brownian Motion modelling

Conference paper

Dhesi, G (2018). Non stationarity of high order return distribution moments and their Irrational fractional Brownian Motion modelling.

*EURO 2018.*Valencia 08 - 11 Jul 2018

Authors | Dhesi, G |
---|---|

Type | Conference paper |

Abstract | This paper reports results on the forecast of the numerical value of the fat tail(s) exponent, kurtosis, and skewness of asset price distributions obtained from stock market indices, moreover simulated using the Irrational Fractional Brownian Motion (IFBM) model. An auto regressive analysis advances the understanding of the modelling and forecasting the returns distributions moments, whence provides some logical argument for the detailed shape of returns distributions and accurate measurement of Value at Risk. |

Year | 2018 |

Accepted author manuscript | License CC BY 4.0 |

Publication dates | |

Print | 11 Jul 2018 |

Publication process dates | |

Deposited | 13 Dec 2018 |

Accepted | 19 Apr 2018 |

https://openresearch.lsbu.ac.uk/item/86q23

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