Model selection for stock prices data

DOI10.1080/02664763.2016.1155205MaRDI QIDQ5138231zbMATH OpenOpenAlexFDO

Authors Pedro P. Mota, Manuel L. Esquível

Publication date 3 December 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2016.1155205

zbMATH Keywords

geometric Brownian motionmaximum likelihood estimatorregimes

Mathematics Subject Classification ID

Diffusion processes (60J60) Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A jump-diffusion model for option pricing
• A new look at the statistical model identification
• An elementary introduction to mathematical finance.
• Bayes Factors
• Empiricial comparison between some model selection criteria
• Estimating the dimension of a model
• Generalizing the derivation of the schwarz information criterion
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• Model Selection and Multimodel Inference
• On a continuous time stock price model with regime switching, delay, and threshold
• On the convergence rate of model selection criteria
• Option pricing when underlying stock returns are discontinuous
• Regression and time series model selection using variants of the schwarz information criterion
• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities

Cited in

(6)

• Development of modified geometric Brownian motion models by using stock price data and basic statistics
• PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS
• Nonparametric predictive inference for American option pricing based on the binomial tree model
• A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
• On a continuous time stock price model with regime switching, delay, and threshold
• scientific article; zbMATH DE number 5260271 (Why is no real title available?)

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