Modeling record-breaking stock prices
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
- Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
- Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
- Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July.
- Krug, Joachim & Jain, Kavita, 2005. "Breaking records in the evolutionary race," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 358(1), pages 1-9.
- Baillie, Richard T. & DeGennaro, Ramon P., 1990. "Stock Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 203-214, June.
- Daniel Gembris & John G. Taylor & Dieter Suter, 2007. "Evolution of Athletic Records: Statistical Effects versus Real Improvements," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(5), pages 529-545.
- A. Johansen & D. Sornette, 1998. "Stock market crashes are outliers," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 1(2), pages 141-143, January.
- Satya N. Majumdar & Gregory Schehr & Gregor Wergen, 2012. "Record statistics and persistence for a random walk with a drift," Papers 1206.6972, arXiv.org, revised Aug 2012.
- Gregor Wergen & Satya N. Majumdar & Gregory Schehr, 2012. "Record Statistics for Multiple Random Walks," Papers 1204.5039, arXiv.org.
- Gregor Wergen & Miro Bogner & Joachim Krug, 2011. "Record statistics for biased random walks, with an application to financial data," Papers 1103.0893, arXiv.org.
- Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-366, December.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- P. Sibani, 2007. "Linear response in aging glassy systems, intermittency and the Poisson statistics of record fluctuations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 58(4), pages 483-491, August.
- Ditlevsen, Susanne, 2007. "A result on the first-passage time of an Ornstein-Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 77(18), pages 1744-1749, December.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
- Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lahmiri, Salim, 2017. "Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 405-414.
- Wang, Bing Xing & Yu, Keming & Coolen, Frank P.A., 2015. "Interval estimation for proportional reversed hazard family based on lower record values," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 115-122.
More about this item
KeywordsRecord statistics; Extreme value statistics; Extreme events in financial markets; Random walks; Autoregressive processes; GARCH-models;
StatisticsAccess and download statistics
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:396:y:2014:i:c:p:114-133. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.