Realized probability

DOI10.1007/S11424-025-3179-7MaRDI QIDQ6950568zbMATH OpenFDO

Authors Haibin Xie, Jingjie Zhang, Yun Chen, Zudi Lu

Publication date 30 July 2025

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11424-025-3179-7

zbMATH Keywords

beta distributionmixed gamma processrealized probabilityreturn decomposition

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites work

• Direction-of-change financial time series forecasting using a similarity-based classification model
• Forecasting stock market movement direction with support vector machine
• High-dimensional multivariate realized volatility estimation
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
• Modeling and Forecasting Realized Volatility
• Modeling financial return dynamics via decomposition
• On the shapes of bilateral gamma densities
• Realized semicovariances
• The behavioral implications of the bilateral gamma process
• The Distribution of Realized Exchange Rate Volatility

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