IDEAS home Printed from https://ideas.repec.org/a/spr/eurphb/v73y2010i1p23-28.html
   My bibliography  Save this article

What distinguishes individual stocks from the index?

Author

Listed:
  • F. Wagner
  • M. Milaković
  • S. Alfarano

Abstract

No abstract is available for this item.

Suggested Citation

  • F. Wagner & M. Milaković & S. Alfarano, 2010. "What distinguishes individual stocks from the index?," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 23-28, January.
    • Handle: RePEc:spr:eurphb:v:73:y:2010:i:1:p:23-28
    DOI: 10.1140/epjb/e2009-00358-1
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1140/epjb/e2009-00358-1
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1140/epjb/e2009-00358-1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Alfarano, Simone & Milaković, Mishael & Irle, Albrecht & Kauschke, Jonas, 2012. "A statistical equilibrium model of competitive firms," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 136-149.
    2. Shephard, Neil (ed.), 2005. "Stochastic Volatility: Selected Readings," OUP Catalogue, Oxford University Press, number 9780199257201.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Raddant, Matthias & Wagner, Friedrich, 2016. "Multivariate GARCH for a large number of stocks," Kiel Working Papers 2049, Kiel Institute for the World Economy (IfW Kiel).
    2. Friedrich Wagner, 2011. "Market clearing by maximum entropy in agent models of stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 121-138, November.
    3. M. Raddant & F. Wagner, 2022. "Multivariate GARCH with dynamic beta," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1324-1343, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020. "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    2. Theodosio, Bruno Miller & Weber, Jan, 2023. "Back to the classics: R-evolution towards statistical equilibria," ifso working paper series 28, University of Duisburg-Essen, Institute for Socioeconomics (ifso).
    3. Scharfenaker, Ellis, 2020. "Implications of quantal response statistical equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    4. Large, Jeremy, 2011. "Estimating quadratic variation when quoted prices change by a constant increment," Journal of Econometrics, Elsevier, vol. 160(1), pages 2-11, January.
    5. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
    6. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, vol. 33(3), pages 497-503, May.
    7. Mengheng Li & Siem Jan (S.J.) Koopman, 2018. "Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction," Tinbergen Institute Discussion Papers 18-027/III, Tinbergen Institute.
    8. Ole Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," Economics Papers 2004-W30, Economics Group, Nuffield College, University of Oxford.
    9. Federico M. Bandi & Roberto Reno, 2009. "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series gd08-035, Institute of Economic Research, Hitotsubashi University.
    10. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
    11. Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina, 2012. "Stochastic volatility models including open, close, high and low prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 199-212, May.
    12. Jihyun Park & Andrey Sarantsev, 2024. "The VIX as Stochastic Volatility for Corporate Bonds," Papers 2410.22498, arXiv.org, revised Nov 2024.
    13. Shirley J. Huang & Qianqiu Liu & Jun Yu, 2007. "Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 33-56, May.
    14. Chang, Lo-Bin & Geman, Stuart, 2013. "Empirical scaling laws and the aggregation of non-stationary data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 5046-5052.
    15. David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
    16. Ilze Kalnina & Dacheng Xiu, 2017. "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
    17. Nakajima, Jouchi & Kasuya, Munehisa & Watanabe, Toshiaki, 2011. "Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy," Journal of the Japanese and International Economies, Elsevier, vol. 25(3), pages 225-245, September.
    18. Milan Fičura & Jiří Witzany, 2018. "Use of Adapted Particle Filters in SVJD Models," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(3), pages 5-20.
    19. Ibrahim A. ONOUR & Bruno S. SERGI, 2011. "Modeling and forecasting volatility in global food commodity prices," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 57(3), pages 132-139.
    20. Tak Siu, 2006. "Option Pricing Under Autoregressive Random Variance Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 10(2), pages 62-75.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eurphb:v:73:y:2010:i:1:p:23-28. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.