What distinguishes individual stocks from the index?

DOI10.1140/EPJB/E2009-00358-1zbMATH Open1188.91176OpenAlexW1980881675MaRDI QIDQ977581FDOQ977581

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

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Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• A theory of the term structure of interest rates
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Pricing interest-rate-derivative securities
• ARCH models as diffusion approximations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation of agent-based models: The case of an asymmetric herding model
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
• A statistical equilibrium model of competitive firms

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