q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations
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Abstract
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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. Handle: RePEc:eee:phsmap:v:392:y:2013:i:20:p:4989-4996
DOI: 10.1016/j.physa.2013.06.035
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References listed on IDEAS
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Cited by:
- 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.
- Zhang, Fode & Ng, Hon Keung Tony & Shi, Yimin, 2018. "On alternative q-Weibull and q-extreme value distributions: Properties and applications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1171-1190.
- Marian Gidea & Yuri Katz, 2017. "Topological Data Analysis of Financial Time Series: Landscapes of Crashes," Papers 1703.04385, arXiv.org, revised Apr 2017.
- 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).
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Keywords
Default risk; q-Gaussian distribution; First stopping time;All these keywords.
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