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Methods in Econophysics: Estimating the Probability Density and Volatility

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  • Moawia Alghalith

Abstract

We discuss and analyze some recent literature that introduced pioneering methods in econophysics. In doing so, we review recent methods of estimating the volatility, volatility of volatility, and probability densities. These methods will have useful applications in econophysics and finance.

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  • Moawia Alghalith, 2022. "Methods in Econophysics: Estimating the Probability Density and Volatility," Papers 2301.10178, arXiv.org.
    • Handle: RePEc:arx:papers:2301.10178
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    4. Manabu Asai & Michael McAleer, 2017. "A fractionally integrated Wishart stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
    5. Moawia Alghalith & Christos Floros & Konstantinos Gkillas, 2020. "Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility," Risks, MDPI, vol. 8(2), pages 1-15, April.
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    11. David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Financial dependence analysis: applications of vine copulas," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(4), pages 403-435, November.
    12. Loretta Mastroeni, 2022. "Pricing Options with Vanishing Stochastic Volatility," Risks, MDPI, vol. 10(9), pages 1-16, September.
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    14. Alghalith, Moawia, 2019. "A new parametric method of estimating the joint probability density: Revisited," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 527(C).
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    18. Alghalith, Moawia, 2016. "Novel and simple non-parametric methods of estimating the joint and marginal densities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 94-98.
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