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

DOI10.1080/14697688.2013.765956MaRDI QIDQ5245352zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

heteroskedasticitylong memoryleverage effectARCHnon-Gaussian distributionsequitiesempirical time series analysis

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Modelling the persistence of conditional variances
• 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
• Varieties of long memory models

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

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