A New Model For Stock Price Movements
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Other versions of this item:
- Venier, Guido, 2007. "A new Model for Stock Price Movements," MPRA Paper 9146, University Library of Munich, Germany.
References listed on IDEAS
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Citations
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Cited by:
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013.
"The bull and bear market model of Huang and Day: Some extensions and new results,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(11), pages 2351-2370.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012. "The bull and bear market model of Huang and Day : Some extensions and new results," BERG Working Paper Series 89, Bamberg University, Bamberg Economic Research Group.
- Venier, Guido, 2008. "A Simple Hypothesis Test for Heteroscedasticity," MPRA Paper 11591, University Library of Munich, Germany.
- Huang, Weihong & Zheng, Huanhuan & Chia, Wai-Mun, 2010. "Financial crises and interacting heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1105-1122, June.
More about this item
Keywords
Deterministic Diffusion; Stock Pricing; Fat Tails; Heteroscedasticity; Long Range Dependence; Option Pricing;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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