What distinguishes individual stocks from the index?

DOI10.1140/EPJB/E2009-00358-1MaRDI QIDQ977581zbMATH OpenOpenAlexFDO

Authors Friedrich Wagner, Mishael Milaković, Simone Alfarano

Publication date 22 June 2010

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1140/epjb/e2009-00358-1

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• scientific article; zbMATH DE number 2230347 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A statistical equilibrium model of competitive firms
• A theory of the term structure of interest rates
• ARCH models as diffusion approximations
• Estimation of agent-based models: The case of an asymmetric herding model
• Pricing interest-rate-derivative securities
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach

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