Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2011.07.007
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010.
"Building Loss Models,"
MPRA Paper
25492, University Library of Munich, Germany.
- Krzysztof Burnecki & Joanna Janczura & Rafał Weron, 2010. "Building Loss Models," SFB 649 Discussion Papers SFB649DP2010-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Krzysztof Burnecki & Joanna Janczura & Rafal Weron, 2010. "Building Loss Models," HSC Research Reports HSC/10/03, Hugo Steinhaus Center, Wroclaw University of Technology.
- Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.
- Szymon Borak & Adam Misiorek & Rafał Weron, 2010.
"Models for Heavy-tailed Asset Returns,"
SFB 649 Discussion Papers
SFB649DP2010-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
- Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Bielak, Łukasz & Grzesiek, Aleksandra & Janczura, Joanna & Wyłomańska, Agnieszka, 2021.
"Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling,"
Resources Policy, Elsevier, vol. 74(C).
- {L}ukasz Bielak & Aleksandra Grzesiek & Joanna Janczura & Agnieszka Wy{l}oma'nska, 2021. "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Papers 2107.07142, arXiv.org.
- Gu, Hui & Liang, Jin-Rong & Zhang, Yun-Xiu, 2012. "Time-changed geometric fractional Brownian motion and option pricing with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3971-3977.
- He, Yue & Kawai, Reiichiro, 2022. "Super- and subdiffusive positions in fractional Klein–Kramers equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
- Sikora, Grzegorz & Michalak, Anna & Bielak, Łukasz & Miśta, Paweł & Wyłomańska, Agnieszka, 2019. "Stochastic modeling of currency exchange rates with novel validation techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1202-1215.
- Szarek, Dawid & Bielak, Łukasz & Wyłomańska, Agnieszka, 2020. "Long-term prediction of the metals’ prices using non-Gaussian time-inhomogeneous stochastic process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
- Foad Shokrollahi, 2016. "Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs," Papers 1612.06665, arXiv.org, revised Aug 2017.
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.- Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
- Szymon Borak & Adam Misiorek & Rafał Weron, 2010.
"Models for Heavy-tailed Asset Returns,"
SFB 649 Discussion Papers
SFB649DP2010-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
- Burnecki, Krzysztof & Gajda, Janusz & Sikora, Grzegorz, 2011. "Stability and lack of memory of the returns of the Hang Seng index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(18), pages 3136-3146.
- Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011. "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports HSC/11/03, Hugo Steinhaus Center, Wroclaw University of Technology.
- Basteck, Christian & Daniëls, Tijmen R., 2011.
"Every symmetric 3×3 global game of strategic complementarities has noise-independent selection,"
Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 749-754.
- Christian Basteck & Tijmen R. Daniëls, 2010. "Every Symmetric 3 x 3 Global Game of Strategic Complementarities Is Noise Independent," SFB 649 Discussion Papers SFB649DP2010-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Enno Mammen & Christoph Rothe & Melanie Schienle, 2010. "Nonparametric Regression with Nonparametrically Generated Covariates," SFB 649 Discussion Papers SFB649DP2010-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
- Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014.
"Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 89-121.
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 89-121, December.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2010/19, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2011/25, Center for Financial Studies (CFS).
- Vladimir Panov, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers SFB649DP2010-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Marcin Pitera & Aleksei Chechkin & Agnieszka Wyłomańska, 2022. "Goodness-of-fit test for $$\alpha$$ α -stable distribution based on the quantile conditional variance statistics," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(2), pages 387-424, June.
- Gajda, Janusz & Bartnicki, Grzegorz & Burnecki, Krzysztof, 2018. "Modeling of water usage by means of ARFIMA–GARCH processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 644-657.
- Franziska Schulze, 2010. "Spatial Dependencies in German Matching Functions," SFB 649 Discussion Papers SFB649DP2010-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Weron, Rafał & Burnecki, Krzysztof, 2004.
"Modeling the risk process in the XploRe computing environment,"
Papers
2004,08, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Krzysztof Burnecki & Rafal Weron, 2005. "Modeling the risk process in the XploRe computing environment," Risk and Insurance 0502001, University Library of Munich, Germany.
- Ma, Zong-Gang & Ma, Chao-Qun, 2013. "Pricing catastrophe risk bonds: A mixed approximation method," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 243-254.
- Ralf Sabiwalsky, 2010. "Executive Compensation Regulation and the Dynamics of the Pay-Performance Sensitivity," SFB 649 Discussion Papers SFB649DP2010-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
- Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
- Janczura, Joanna & Weron, Rafal, 2010.
"An empirical comparison of alternate regime-switching models for electricity spot prices,"
Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
- Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models or electricity spot prices," MPRA Paper 20546, University Library of Munich, Germany.
- Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004.
"Simulation of risk processes,"
Papers
2004,01, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Burnecki, Krzysztof & Weron, Rafal, 2010. "Simulation of Risk Processes," MPRA Paper 25444, University Library of Munich, Germany.
More about this item
Keywords
Ornstein–Uhlenbeck process; α-stable distribution; Subdiffusion; Estimation; Calibration; Interest rates;All these keywords.
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:eee:phsmap:v:390:y:2011:i:23:p:4379-4387. 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: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.