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A model for stock market returns: non-Gaussian fluctuations and financial factors

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  • B. Craven
  • Sardar Islam

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  • B. Craven & Sardar Islam, 2008. "A model for stock market returns: non-Gaussian fluctuations and financial factors," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 355-370, May.
    • Handle: RePEc:kap:rqfnac:v:30:y:2008:i:4:p:355-370
    DOI: 10.1007/s11156-007-0066-3
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    References listed on IDEAS

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    1. Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
    2. Ratti, Ronald A. & Seo, Jeonghee, 2003. "Multiple equilibria and currency crisis: evidence for Korea," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 681-696, October.
    3. De Long, J Bradford, et al, 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
    4. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006. "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 121(2), pages 461-504.
    5. Kapopoulos, Panayotis & Siokis, Fotios, 2005. "Stock market crashes and dynamics of aftershocks," Economics Letters, Elsevier, vol. 89(1), pages 48-54, October.
    6. Christiansen, Charlotte, 2008. "Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 925-948, December.
    7. Sampson, Michael, 2003. "New Eras and Stock Market Bubbles," Structural Change and Economic Dynamics, Elsevier, vol. 14(3), pages 297-315, September.
    8. Kettell, Brian, 2001. "Economics for Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780750653848.
    9. Rahman, Shafiqur & Lee, Cheng-few & Ang, Kian Ping, 2002. "Intraday Return Volatility Process: Evidence from NASDAQ Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 19(2), pages 155-180, September.
    10. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71(5), pages 421-421.
    11. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
    12. Fernandes, Marcelo, 2006. "Financial crashes as endogenous jumps: estimation, testing and forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 111-141, January.
    13. Raúl Susmel & Madhu Kalimipalli, 2001. "Regime-Switching Stochastic Volatility and Short-Term Interest Rates," CEMA Working Papers: Serie Documentos de Trabajo. 197, Universidad del CEMA.
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    Cited by:

    1. Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen, 2016. "Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 459-482, April.
    2. B. D. Craven & Sardar M. N. Islam, 2015. "Stock Price Modeling: Separation of Trend and Fluctuations, and Implications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-12, December.
    3. Lawrence R. Thorne, 2011. "Fat Tails Quantified and Resolved: A New Distribution to Reveal and Characterize the Risk and Opportunity Inherent in Leptokurtic Data," Papers 1110.6553, arXiv.org.

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    More about this item

    Keywords

    Aggregate stock prices; Returns; Diflogs; Positive feedback; Phases; Kurtosis; Optimism factor; Credit; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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