Model for Non-Gaussian Intraday Stock Returns
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Eckhard Platen, 2006.
"A Benchmark Approach To Finance,"
Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
- Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
- David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413, October.
- repec:cup:cbooks:9780521819169 is not listed on IDEAS
- Shephard, Neil (ed.), 2005. "Stochastic Volatility: Selected Readings," OUP Catalogue, Oxford University Press, number 9780199257201, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "European option pricing under the Student’s t noise with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 848-858.
- Dashti Moghaddam, M. & Serota, R.A., 2021. "Combined multiplicative–Heston model for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).
- Marian Gidea & Yuri Katz, 2017. "Topological Data Analysis of Financial Time Series: Landscapes of Crashes," Papers 1703.04385, arXiv.org, revised Apr 2017.
- Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
- Cassidy, Daniel T., 2011. "Describing n-day returns with Student’s t-distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(15), pages 2794-2802.
- Politi, Mauro & Millot, Nicolas & Chakraborti, Anirban, 2012. "The near-extreme density of intraday log-returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 147-155.
- De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
- Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Papers 1106.0039, arXiv.org.
- Gangadhar Nayak & Amit Kumar Singh & Dilip Senapati, 2021. "Computational Modeling of Non-Gaussian Option Price Using Non-extensive Tsallis’ Entropy Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1353-1371, April.
- Kangrong Tan & Meifen Chu, 2012. "Estimation Of Portfolio Return And Value At Risk Using A Class Of Gaussian Mixture Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 97-107.
- Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Post-Print hal-00827942, HAL.
- Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023. "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers 2302.02769, arXiv.org.
- Xu, Dan & Beck, Christian, 2016. "Transition from lognormal to χ2-superstatistics for financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 173-183.
- M. Dashti Moghaddam & R. A. Serota, 2018. "Combined Mutiplicative-Heston Model for Stochastic Volatility," Papers 1807.10793, arXiv.org.
- Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.
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.- Tak Siu, 2006. "Option Pricing Under Autoregressive Random Variance Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 10(2), pages 62-75.
- Francesca Biagini & Alessandra Cretarola & Eckhard Platen, 2012.
"Local Risk-Minimization under the Benchmark Approach,"
Papers
1210.2337, arXiv.org.
- Francesca Biagini & Alessandra Cretarola & Eckhard Platen, 2012. "Local Risk-Minimization under the Benchmark Approach," Research Paper Series 319, Quantitative Finance Research Centre, University of Technology, Sydney.
- Miguel A. Fuentes & Austin Gerig & Javier Vicente, 2009. "Universal Behavior of Extreme Price Movements in Stock Markets," Papers 0912.5448, arXiv.org.
- Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
- Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 21, July-Dece.
- Eckhard Platen & David Taylor, 2016.
"Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts,"
Research Paper Series
379, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
- Katz, Yuri A. & Tian, Li, 2013. "q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 4989-4996.
- Asai, Manabu & McAleer, Michael, 2015.
"Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
- 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).
- Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
"Limit Theorems For Bipower Variation In Financial Econometrics,"
Econometric Theory, Cambridge University Press, vol. 22(4), pages 677-719, August.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.
- Aleksandr G. Alekseev & Mikhail V. Sokolov, 2016. "Benchmark-based evaluation of portfolio performance: a characterization," Annals of Finance, Springer, vol. 12(3), pages 409-440, December.
- Jin Sun & Eckhard Platen, 2019. "Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies," Research Paper Series 399, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Jeremy Large, 2007. "Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment," Economics Series Working Papers 340, University of Oxford, Department of Economics.
- Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009.
"Alternative Defaultable Term Structure Models,"
Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 1-31, March.
- Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series 242, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )," CARF F-Series CARF-F-107, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Constantinos Kardaras & Jan Obłój & Eckhard Platen, 2017.
"The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments,"
Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 68-95, January.
- Constantinos Kardaras & Jan Obloj & Eckhard Platen, 2012. "The numeraire property and long-term growth optimality for drawdown-constrained investments," Papers 1206.2305, arXiv.org, revised Nov 2012.
- Kardaras, Constantinos & Obłój, Jan & Platen, Eckhard, 2017. "The numéraire property and long-term growth optimality for drawdown-constrained investments," LSE Research Online Documents on Economics 60132, London School of Economics and Political Science, LSE Library.
- Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
- 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.
- Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Food and Agricultural Policy Research Institute (FAPRI) Publications (archive only) 09-wp491, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," ISU General Staff Papers 201105010700001512, Iowa State University, Department of Economics.
- Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Center for Agricultural and Rural Development (CARD) Publications 09-wp491, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49276, Agricultural and Applied Economics Association.
- Carole Bernard & Franck Moraux & Ludger R�schendorf & Steven Vanduffel, 2015.
"Optimal payoffs under state-dependent preferences,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1157-1173, July.
- Carole Bernard & Franck Moraux & Ludger Rueschendorf & Steven Vanduffel, 2013. "Optimal Payoffs under State-dependent Preferences," Papers 1308.6465, arXiv.org, revised Jul 2014.
- Carole Bernard & Franck Moraux & Ludger Rüschendorf & Steven Vanduffel, 2015. "Optimal payoffs under state-dependent preferences," Post-Print halshs-01118540, HAL.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2009-09-26 (Market Microstructure)
Statistics
Access and download statisticsCorrections
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:arx:papers:0906.3841. 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: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.