Modeling chinese stock returns with stable distribution

DOI10.1016/J.MCM.2011.03.004zbMath1225.91073OpenAlexW2062062923MaRDI QIDQ646126

Yucheng Dong, Weidong Xu, Chongfeng Wu, Wei-Lin Xiao

Publication date: 11 November 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.03.004

zbMATH Keywords

characteristic functionLévy measurestable distributionsample quantile method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

Related Items (6)

Bivariate sub-Gaussian model for stock index returns ⋮ WITHDRAWAL SUCCESS ESTIMATION ⋮ Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws ⋮ Series representation of jointly \(S \alpha S\) distribution via symmetric covariations ⋮ Stock market uncertainty and economic fundamentals: an entropy-based approach ⋮ Estimation methods for expected shortfall

Uses Software

• STABLE

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
• Jump diffusion model with application to the Japanese stock market
• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
• A study of Greek letters of currency option under uncertainty environments
• Multivariate geometric stable distributions in financial applications.
• Option pricing for a logstable asset price model
• Geometric stable laws: Estimation and applications
• Estimation of stable spectral measures
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Multivariate stable distributions
• Simple consistent estimators of stable distribution parameters
• Regression-Type Estimation of the Parameters of Stable Laws
• An iterative procedure for the estimation of the parameters of stable laws
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Numerical calculation of stable densities and distribution functions
• Option pricing bounds in an a α stable security market
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• Parameter Estimates for Symmetric Stable Distributions
• Estimation in Univariate and Multivariate Stable Distributions

This page was built for publication: Modeling chinese stock returns with stable distribution