Processes for stocks capturing their statistical properties from one day to one year

DOI10.1080/14697688.2013.765956zbMATH Open1308.91196OpenAlexW2069200667MaRDI QIDQ5245352FDOQ5245352

Authors:

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.765956

Recommendations

• On discrete stochastic processes with long-lasting time dependence in the variance
• Short and long memory in stock returns data
• Volatility processes and volatility forecast with long memory
• Complexity and the character of stock returns: empirical evidence and a model of asset prices based on complex investor learning
• Discrete time series, processes, and applications in finance.

zbMATH Keywords

heteroskedasticitylong memoryleverage effectARCHnon-Gaussian distributionsequitiesempirical time series analysis

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Cites Work

• Title not available (Why is that?)
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Modelling the persistence of conditional variances
• Varieties of long memory models
• More stylized facts of financial markets: leverage effect and downside correlations
• Tail estimation of the stable index \(\alpha\)
• Using relative returns to accommodate fat-tailed innovations in processes and option pricing

Cited In (3)

• Fast and realistic European ARCH option pricing and hedging
• Affine Heston model style with self-exciting jumps and long memory
• Option pricing with realistic ARCH processes

This page was built for publication: Processes for stocks capturing their statistical properties from one day to one year

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5245352)