Intraday empirical analysis and modeling of diversified world stock indices

DOI10.1007/s10690-006-9010-0zbMath1154.91399OpenAlexW2003503187MaRDI QIDQ853868

Wolfgang Breymann, Eckhard Platen, Leah Kelly

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/11475/4658

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Continuity and singularity of induced measures (60G30)

Related Items (3)

Understanding the implied volatility surface for options on a diversified index ⋮ Diversified portfolios with jumps in a benchmark framework ⋮ A benchmark approach to filtering in finance

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• A Theory of the Term Structure of Interest Rates
• MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
• Estimation of an Ergodic Diffusion from Discrete Observations
• Arbitrage in continuous complete markets
• Estimation for discretely observed diffusions using transform functions
• A BENCHMARK APPROACH TO FINANCE
• Stochastic differential equations. An introduction with applications.
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