FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS

DOI10.1142/S0129183108012820MaRDI QIDQ3607473zbMATH OpenFDO

Authors Markus Porto, H. E. Roman

Publication date 2 March 2009

Published in International Journal of Modern Physics C (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0129183108012820

Mathematics Subject Classification ID

Brownian motion (60J65) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

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• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
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• Long memory in continuous-time stochastic volatility models
• Long memory relationships and the aggregation of dynamic models
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• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity

Cited in

(6)

• On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
• ARCH model and fractional Brownian motion
• Modelling NASDAQ series by sparse multifractional Brownian motion
• A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
• Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters
• scientific article; zbMATH DE number 797365 (Why is no real title available?)

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