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What distinguishes individual stocks from the index?

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  • F. Wagner
  • M. Milaković

  • S. Alfarano

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Suggested Citation

  • F. Wagner & M. Milaković & S. Alfarano, 2010. "What distinguishes individual stocks from the index?," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 23-28, January.
    • Handle: RePEc:spr:eurphb:v:73:y:2010:i:1:p:23-28
    DOI: 10.1140/epjb/e2009-00358-1
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    References listed on IDEAS

    as
    1. Shephard, Neil (ed.), 2005. "Stochastic Volatility: Selected Readings," OUP Catalogue, Oxford University Press, number 9780199257201.
    2. Alfarano, Simone & Milaković, Mishael & Irle, Albrecht & Kauschke, Jonas, 2012. "A statistical equilibrium model of competitive firms," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 136-149.
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    Cited by:

    1. Raddant, Matthias & Wagner, Friedrich, 2016. "Multivariate GARCH for a large number of stocks," Kiel Working Papers 2049, Kiel Institute for the World Economy.
    2. Friedrich Wagner, 2011. "Market clearing by maximum entropy in agent models of stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 121-138, November.
    3. M. Raddant & F. Wagner, 2022. "Multivariate GARCH with dynamic beta," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1324-1343, October.

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