An extensive analysis on the Japanese markets via S. Taylor's model

DOI10.1007/BF02425229zbMath1155.91443MaRDI QIDQ1000375

Yoshihiko Tsukuda, Junko Maru, Takeaki Kariya, Kazuo Omaki, Yumiko Matsue

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Cross-sectional-skew-dependent distribution models for industry returns in the Japanese stock market ⋮ An extention of Samuelson's warrant valuation model and its application to Japanese data ⋮ Non-ideal Brownian motion, generalized Langevin equation and its application to the security market ⋮ Non-Gaussian distribution for stock returns and related stochastic differential equation

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Price Variability-Volume Relationship on Speculative Markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process

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