Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence

Cites Work

Title not available (Why is that?)
The pricing of options and corporate liabilities
Time series: theory and methods.
Generalized autoregressive conditional heteroscedasticity
Title not available (Why is that?)
Title not available (Why is that?)
Regression-Type Estimation of the Parameters of Stable Laws
A Method for Simulating Stable Random Variables
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
ARCH modeling in finance. A review of the theory and empirical evidence
ARCH models and financial applications
Conditional Heteroskedasticity in Asset Returns: A New Approach
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Fractional Brownian Motions, Fractional Noises and Applications
Convergence of stochastic processes
Title not available (Why is that?)
A simple general approach to inference about the tail of a distribution
Hyperbolic distributions in finance
Long memory processes and fractional integration in econometrics
Long-Term Memory in Stock Market Prices
Modeling asset returns with alternative stable distributions^*
Title not available (Why is that?)
An Intertemporal Capital Asset Pricing Model
Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
Title not available (Why is that?)
Mutual fund separation in financial theory - the separating distributions
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Arbitrage with Fractional Brownian Motion
Option pricing when underlying stock returns are discontinuous
Title not available (Why is that?)
Title not available (Why is that?)
Approach to an irregular time series on the basis of the fractal theory
On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
MULTIVARIATE STABLE FUTURES PRICES
FRACTAL APPROACHES IN SIGNAL PROCESSING
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Robustness of whittle-type estimators for time series with long-range dependence
Title not available (Why is that?)
Parameter Estimates for Symmetric Stable Distributions
Martingales and stochastic integrals in the theory of continuous trading
Stock market prices and long-range dependence
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Handbook of stochastic methods for physics, chemistry and natural sciences.
Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
Fractional differencing and long memory processes
Simple consistent estimators of stable distribution parameters
An iterative procedure for the estimation of the parameters of stable laws
Title not available (Why is that?)
Title not available (Why is that?)
Unimodality of infinitely divisible distribution functions of class L
The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
Title not available (Why is that?)
Bayesian Inference for Stable Distributions
Title not available (Why is that?)
From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
Title not available (Why is that?)
Title not available (Why is that?)
Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
Parameterizations and modes of stable distributions
Title not available (Why is that?)
Title not available (Why is that?)
Stable GARCH models for financial time series
Title not available (Why is that?)
Characteristic functions of random variables attracted to 1-stable laws
Option pricing for a logstable asset price model
FRACTAL GEOMETRY OF FINANCIAL TIME SERIES
A unified beta pricing theory
Tail estimation of the stable index \(\alpha\)
Title not available (Why is that?)
Title not available (Why is that?)
A testable version of the Pareto-Stable CAPM
Subordinated market index models: A comparison
Calculation of multidimensional stable densities
Title not available (Why is that?)
Title not available (Why is that?)
Dependence of stable random variables
Title not available (Why is that?)
Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances
Integral and asymptotic representations of geo-stable densities
Title not available (Why is that?)

Cited In (5)

Optimal design approach to GMM estimation of parameters based on empirical transforms
Nonparametric inference of discretely sampled stable Lévy processes
Realized Quantiles^*
Convoluted fractional Poisson process of order k
Time-changed Poisson processes of order k

Uses Software

STABLE
longmemo

   Recommendations

Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation 👍 👎
Long-memory in high-frequency exchange rate volatility under temporal aggregation 👍 👎
Title not available (Why is that?) 👍 👎
Exploring exchange rate returns at different time horizons 👍 👎
The Distribution of Realized Exchange Rate Volatility 👍 👎

This page was built for publication: Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1600522)