Stock market prices and long-range dependence
From MaRDI portal
Publication:1297904
DOI10.1007/S007800050049zbMATH Open0924.90029OpenAlexW2080713461MaRDI QIDQ1297904FDOQ1297904
Murad S. Taqqu, Vadim Teverovsky, Walter Willinger
Publication date: 14 September 1999
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050049
Recommendations
Cited In (88)
- Long-range dependence of time series for MSFT data of the prices of shares and returns
- FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET
- Parameter estimation of an agent-based stock price model
- Markov regime switching in mean and in fractional integration parameter
- Fractional processes and their statistical inference: an overview
- Title not available (Why is that?)
- Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk
- Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
- Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
- Inducing normality from non-Gaussian long memory time series and its application to stock return data
- Testing for long range dependence in banking equity indices
- LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance
- A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes
- SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET
- Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework
- Abductive learning of quantized stochastic processes with probabilistic finite automata
- On Estimation of Hurst Parameter Under Noisy Observations
- Asymptotic Properties of theR/SStatistics for Linear Processes
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- A spectral approach using fractional Jaiswal functions to solve the mixed time-fractional Black-Scholes European option pricing model with error analysis
- The Convergence of exponential Euler method for weighted fractional stochastic equations
- DETERMINING THE DURATION OF CYCLES IN THE MARKET OF SECOND-HAND TANKER SHIPS, 1976–2001: IS PREDICTION POSSIBLE?
- Pricing of equity indexed annuity under fractional Brownian motion model
- A fractional version of the Merton model.
- Maximum likelihood estimators of a long-memory process from discrete observations
- Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- On operator fractional Lévy motion: integral representations and time-reversibility
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
- A critical look at Lo's modified \(R/S\) statistic.
- Asymptotic proportion of arbitrage points in fractional binary markets
- Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
- Numerically pricing American options under the generalized mixed fractional Brownian motion model
- Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach
- On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields
- ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
- ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
- The local time of the fractional Ornstein-Uhlenbeck process
- Stochastic Averaging Principle for Mixed Stochastic Differential Equations
- Arbitrage with fractional Gaussian processes
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models
- High-frequency trading with fractional Brownian motion
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- The use of Hurst and effective return in investing
- Long-range memory test by the burst and inter-burst duration distribution
- Testing for long-range dependence in the Brazilian term structure of interest rates
- Rescaled variance and related tests for long memory in volatility and levels
- Testing long memory based on a discretely observed process
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
- Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
- Estimation methods for the LRD parameter under a change in the mean
- OPTION PRICING WITH VG–LIKE MODELS
- Smooth density for some nilpotent rough differential equations
- Martingale transforms and Girsanov theorem for long-memory Gaussian processes
- Euler scheme for fractional delay stochastic differential equations by rough paths techniques
- Time-varying long-range dependence in US interest rates
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Gaussian moving averages, semimartingales and option pricing.
- Comparison of non-parametric and semi-parametric tests in detecting long memory
- Absence of arbitrage in a general framework
- On optimal investment with processes of long or negative memory
- Consistent price systems and face-lifting pricing under transaction costs
- Precise rates in the law of the iterated logarithm for \(R/S\) statistics
- Stochastic viability and comparison theorems for mixed stochastic differential equations
- ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
- The law of iterated logarithm of rescaled range statistics for AR(1) model
- An accurate algorithm to calculate the Hurst exponent of self-similar processes
- CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS
- Mixed fractional Heston model and the pricing of American options
- Modelling NASDAQ series by sparse multifractional Brownian motion
- On inference for fractional differential equations
- Long-Term Memory in Stock Market Prices
- Stochastic resonance in coupled star-networks with power-law heterogeneity
- Bipower variation with jumps and correlated returns
- The fractional and mixed-fractional CEV model
- Testing for long-range dependence in world stock markets
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- On fractional tempered stable motion
- MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY
- The law of the iterated logarithm for the rescaled R/S statistics without the second moment
- Transition density estimates for jump Lévy processes
- Trading Fractional Brownian Motion
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
- Two-sample U-statistic processes for long-range dependent data
- Estimating long-range dependence: Finite sample properties and confidence intervals
This page was built for publication: Stock market prices and long-range dependence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1297904)
