What distinguishes individual stocks from the index?
From MaRDI portal
Publication:977581
DOI10.1140/epjb/e2009-00358-1zbMath1188.91176MaRDI QIDQ977581
Simone Alfarano, Mishael Milaković, Friedrich Wagner
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
91B84: Economic time series analysis
Cites Work
- Unnamed Item
- Unnamed Item
- A statistical equilibrium model of competitive firms
- Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
- Estimation of agent-based models: The case of an asymmetric herding model
- ARCH models as diffusion approximations
- 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