Modeling chinese stock returns with stable distribution

DOI10.1016/J.MCM.2011.03.004MaRDI QIDQ646126zbMATH OpenOpenAlexFDO

Authors Weidong Xu, Chong Feng Wu, Yucheng Dong, Wei-Lin Xiao

Publication date 11 November 2011

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2011.03.004

zbMATH Keywords

characteristic functionLévy measuresample quantile methodstable distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

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Cites work

• A jump-diffusion model for option pricing
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• An iterative procedure for the estimation of the parameters of stable laws
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• Estimation of stable spectral measures
• Geometric stable laws: Estimation and applications
• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• scientific article; zbMATH DE number 1301883 (Why is no real title available?)
• scientific article; zbMATH DE number 843191 (Why is no real title available?)
• Jump diffusion model with application to the Japanese stock market
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Multivariate geometric stable distributions in financial applications.
• Multivariate stable distributions
• Numerical calculation of stable densities and distribution functions
• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
• Option pricing bounds in an a α stable security market
• Option pricing for a logstable asset price model
• Option pricing when underlying stock returns are discontinuous
• Parameter Estimates for Symmetric Stable Distributions
• Regression-Type Estimation of the Parameters of Stable Laws
• Simple consistent estimators of stable distribution parameters
• Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• The pricing of options and corporate liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(8)

• Unconditional and conditional distributional models for the Nikkei index
• Series representation of jointly S S distribution via symmetric covariations
• Bivariate sub-Gaussian model for stock index returns
• Estimation methods for expected shortfall
• Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
• Stock market uncertainty and economic fundamentals: an entropy-based approach
• WITHDRAWAL SUCCESS ESTIMATION
• Parameter estimation for nonlinear stochastic differential equations driven by -stable processes: non-ergodic case

Describes a project that uses

Uses Software

• STABLE

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