Model selection for stock prices data

DOI10.1080/02664763.2016.1155205OpenAlexW2324403237MaRDI QIDQ5138231

Manuel L. Esquível, Pedro Mota

Publication date: 3 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2016.1155205

zbMATH Keywords

maximum likelihood estimatorgeometric Brownian motionregimes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Diffusion processes (60J60) Statistical aspects of information-theoretic topics (62B10)

Related Items (3)

PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS ⋮ Nonparametric predictive inference for American option pricing based on the binomial tree model ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

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• Bayes Factors
• On a continuous time stock price model with regime switching, delay, and threshold
• Option pricing when underlying stock returns are discontinuous
• Stochastic differential equations. An introduction with applications.
• A new look at the statistical model identification

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