EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS

DOI10.1142/S0219024918500632zbMath1411.91520OpenAlexW2903027441WikidataQ128822360 ScholiaQ128822360MaRDI QIDQ4631695

Dilip B. Madan, Wim Schoutens

Publication date: 18 April 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500632

zbMATH Keywords

power variationbilateral gammaacceptability indexsupport vector machine regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (3)

Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models ⋮ Lower and upper pricing of financial assets ⋮ MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS

Cites Work

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• MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
• High-frequency cross-correlation in a set of stocks
• The Variance Gamma Process and Option Pricing
• Self‐similarity in long‐horizon returns

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