Modeling chinese stock returns with stable distribution

DOI10.1016/J.MCM.2011.03.004zbMATH Open1225.91073OpenAlexW2062062923MaRDI QIDQ646126FDOQ646126

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

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zbMATH Keywords

characteristic functionstable distributionsample quantile methodLévy measure

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• A jump-diffusion model for option pricing
• Title not available (Why is that?)
• Regression-Type Estimation of the Parameters of Stable Laws
• Title not available (Why is that?)
• Multivariate stable distributions
• Numerical calculation of stable densities and distribution functions
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• Parameter Estimates for Symmetric Stable Distributions
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Simple consistent estimators of stable distribution parameters
• An iterative procedure for the estimation of the parameters of stable laws
• Title not available (Why is that?)
• Estimation in Univariate and Multivariate Stable Distributions
• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
• Estimation of stable spectral measures
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
• Jump diffusion model with application to the Japanese stock market
• Multivariate geometric stable distributions in financial applications.
• Option pricing for a logstable asset price model
• Geometric stable laws: Estimation and applications
• Option pricing bounds in an a α stable security market
• A study of Greek letters of currency option under uncertainty environments

Cited In (7)

• Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
• Stock market uncertainty and economic fundamentals: an entropy-based approach
• Estimation methods for expected shortfall
• Bivariate sub-Gaussian model for stock index returns
• WITHDRAWAL SUCCESS ESTIMATION
• Unconditional and conditional distributional models for the Nikkei index
• Series representation of jointly \(S \alpha S\) distribution via symmetric covariations

Uses Software

• STABLE

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