Statistical decomposition of volatility

DOI10.1007/S10958-017-3248-0zbMath1415.91334OpenAlexW2582081240MaRDI QIDQ2400051

V. Yu. Korolev

Publication date: 25 August 2017

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-017-3248-0

zbMATH Keywords

volatilitystatistical decompositionstochastic Poisson processes

Mathematics Subject Classification ID

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

Related Items (2)

Median modifications of the EM-algorithm for separation of mixtures of probability distributions and their applications to the decomposition of volatility of financial indexes ⋮ Уравнение Больцмана без гипотезы молекулярного хаоса

Cites Work

• Alternative models for stock price dynamics.
• Modeling volatility persistence of speculative returns: a new approach
• Asymptotic Properties of Extrema of Compound Cox Processes and Their Applications to Some Problems of Financial Mathematics
• Generalized Poisson Models and their Applications in Insurance and Finance
• Chance and Stability
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