Stock prices as branching processes in random environments: estimation

DOI10.1080/03610919908813587MaRDI QIDQ4488754zbMATH OpenOpenAlexFDO

Authors T. W. Epps, Jean-Pierre Dion

Publication date 9 July 2000

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919908813587

Mathematics Subject Classification ID

Applications of branching processes (60J85) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3190745 (Why is no real title available?)
• On Branching Processes in Random Environments
• On Branching Processes with Random Environments: I: Extinction Probabilities
• Statistical inference for branching processes with an increasing random number of ancestors
• Stock prices as branching processes

Cited in

(18)

• Non-parametric Bayesian estimation for multitype branching processes through simulation-based methods
• A latent process model for the pricing of corporate securities
• Deviations for martingale convergence of a branching process with random index
• The financial value of knowing the distribution of stock prices in discrete market models
• Deviations for jumping times of a branching process indexed by a Poisson process
• A general class of multifractional processes and stock price informativeness
• Critical randomly indexed branching processes
• Limit theorems for a supercritical Poisson random indexed branching process
• Large and moderate deviations for a renewal randomly indexed branching process
• Stock prices as branching processes
• Berry-Esseen type inequality for a Poisson randomly indexed branching process via Stein's method
• Large deviations for Lotka-Nagaev estimator of a randomly indexed branching process
• Asymptotic distributions and Berry-Esseen inequalities for Lotka-Nagaev estimator of a Poisson randomly indexed branching process
• Controlled branching processes with continuous time
• Large deviations for a randomly indexed branching process with immigration
• Notes on large deviations for branching processes indexed by a Poisson process
• Large and moderate deviations for a class of renewal random indexed branching process
• Large deviations for a Poisson random indexed branching process

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