Processes for stocks capturing their statistical properties from one day to one year

DOI10.1080/14697688.2013.765956zbMath1308.91196OpenAlexW2069200667MaRDI QIDQ5245352

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Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.765956

zbMATH Keywords

ARCHlong memoryleverage effectheteroskedasticitynon-Gaussian distributionsequitiesempirical time series analysis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (2)

Fast and realistic European ARCH option pricing and hedging ⋮ Option pricing with realistic ARCH processes

Cites Work

• Unnamed Item
• Generalized autoregressive conditional heteroscedasticity
• Tail estimation of the stable index \(\alpha\)
• Varieties of long memory models
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Using relative returns to accommodate fat-tailed innovations in processes and option pricing
• More stylized facts of financial markets: leverage effect and downside correlations

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