An extensive analysis on the Japanese markets via S. Taylor's model
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Publication:1000375
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)
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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