Stochastic volatility model and technical analysis of stock price

DOI10.1007/S10114-011-9468-1zbMATH Open1303.91195OpenAlexW2080986910MaRDI QIDQ475736FDOQ475736

Authors: Wei Liu, Weian Zheng 

Publication date: 27 November 2014

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-011-9468-1

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zbMATH Keywords

convergence ratelaw of large numbersstochastic volatility modelasymptotic stationary processtechnical analysis indicators

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

Cites Work

• Asymptotic nonequivalence of GARCH models and diffusions
• Title not available (Why is that?)
• Stochastic volatility models as hidden Markov models and statistical applications
• Stochastic Volatility Effects on Defaultable Bonds
• Title not available (Why is that?)

Cited In (8)

• Markov-modulated geometric Brownian motion and Bollinger bands
• Hypothesis test on stock price model
• Properties of some statistics for AR-ARCH model with application to technical analysis
• Title not available (Why is that?)
• Title not available (Why is that?)
• Fractional Black-Scholes model and technical analysis of stock price
• Properties of corresponding statistics of the technical analysis indexes on a SARV model
• Title not available (Why is that?)

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