IDEAS home Printed from https://ideas.repec.org/r/eee/phsmap/v314y2002i1p756-761.html
   My bibliography  Save this item

Volatility in financial markets: stochastic models and empirical results

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Ralf Remer & Reinhard Mahnke, 2004. "Application of the heston and hull-white models to german dax data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 685-693.
  2. Mei-Ling Cai & Zhang-HangJian Chen & Sai-Ping Li & Xiong Xiong & Wei Zhang & Ming-Yuan Yang & Fei Ren, 2022. "New volatility evolution model after extreme events," Papers 2201.03213, arXiv.org.
  3. Andria, Joseph & di Tollo, Giacomo & Kalda, Jaan, 2022. "The predictive power of power-laws: An empirical time-arrow based investigation," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  4. Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Science & Finance (CFM) working paper archive 500061, Science & Finance, Capital Fund Management.
  5. 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).
  6. Jaume Masoliver & Josep Perello, 2006. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 423-433.
  7. G. L. Buchbinder & K. M. Chistilin, 2006. "Multiple time scales and the empirical models for stochastic volatility," Papers physics/0611048, arXiv.org.
  8. Feng Dai & Zifu Qin, 2004. "Df Structure Models For Options Pricing," Finance 0403005, University Library of Munich, Germany.
  9. Linden, Mikael, 2005. "Estimating the distribution of volatility of realized stock returns and exchange rate changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 352(2), pages 573-583.
  10. Mikhail Martynov & Olga Rozanova, 2010. "A certain estimate of volatility through return for stochastic volatility models," Papers 1009.5129, arXiv.org, revised Jul 2011.
  11. Kim, Kyungwon & Jung, Sean S., 2014. "Empirical analysis of structural change in Credit Default Swap volatility," Chaos, Solitons & Fractals, Elsevier, vol. 60(C), pages 56-67.
  12. Feng Dai & Ling Liang, 2005. "The Advance in Partial Distribution: A New Mathematical Tool for Economic Management," EERI Research Paper Series EERI_RP_2005_04, Economics and Econometrics Research Institute (EERI), Brussels.
  13. Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Papers 0810.1625, arXiv.org.
  14. Buchbinder, G.L. & Chistilin, K.M., 2007. "Multiple time scales and the empirical models for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 168-178.
  15. Cai, Mei-Ling & Chen, Zhang-HangJian & Li, Sai-Ping & Xiong, Xiong & Zhang, Wei & Yang, Ming-Yuan & Ren, Fei, 2022. "New volatility evolution model after extreme events," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
  16. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023. "Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 599-625, July.
  17. Lemmens, D. & Liang, L.Z.J. & Tempere, J. & De Schepper, A., 2010. "Pricing bounds for discrete arithmetic Asian options under Lévy models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5193-5207.
  18. D. Delpini & G. Bormetti, 2015. "Stochastic volatility with heterogeneous time scales," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1597-1608, October.
  19. Gilles Daniel & Nathan Joseph & David Bree, 2005. "Stochastic volatility and the goodness-of-fit of the Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 199-211.
  20. feng dai, 2004. "The Partial Distribution: Definition, Properties and Applications in Economy," Econometrics 0403008, University Library of Munich, Germany.
  21. F. Baldovin & F. Camana & M. Caporin & M. Caraglio & A.L. Stella, 2015. "Ensemble properties of high-frequency data and intraday trading rules," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 231-245, February.
  22. Miccichè, S., 2016. "Understanding the determinants of volatility clustering in terms of stationary Markovian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 186-197.
  23. Aki-Hiro Sato & Paolo Tasca & Takashi Isogai, 2019. "Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective," Computational Economics, Springer;Society for Computational Economics, vol. 54(4), pages 1505-1537, December.
  24. Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Papers cond-mat/0501292, arXiv.org.
  25. Renò, Roberto & Rizza, Rosario, 2003. "Is volatility lognormal? Evidence from Italian futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 620-628.
  26. Meudt, Frederik & Schmitt, Thilo A. & Schäfer, Rudi & Guhr, Thomas, 2016. "Equilibrium pricing in an order book environment: Case study for a spin model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 228-235.
  27. Aki-Hiro Sato & Takaki Hayashi & Janusz Hołyst, 2012. "Comprehensive analysis of market conditions in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 167-179, October.
  28. Feng Dai & Lin Liang, 2005. "The Advance in Partial Distribution£ºA New Mathematical Tool for Economic Management," Econometrics 0508001, University Library of Munich, Germany.
  29. L. Borland & J. -Ph. Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Papers physics/0507073, arXiv.org.
  30. Frederik Meudt & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr, 2015. "Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model," Papers 1502.01125, arXiv.org.
  31. Giacomo Bormetti & Valentina Cazzola & Danilo Delpini, 2009. "Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model," Papers 0905.1882, arXiv.org, revised May 2010.
  32. Li, Wenwei & Hommel, Ulrich & Paterlini, Sandra, 2018. "Network topology and systemic risk: Evidence from the Euro Stoxx market," Finance Research Letters, Elsevier, vol. 27(C), pages 105-112.
  33. Aki-Hiro Sato & Paolo Tasca & Takashi Isogai, 2015. "Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective," Papers 1504.07152, arXiv.org, revised Feb 2017.
  34. Li, Chao & Shang, Pengjian, 2018. "Complexity analysis based on generalized deviation for financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 118-128.
  35. Stanislav S Borysov & Alexander V Balatsky, 2014. "Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk," PLOS ONE, Public Library of Science, vol. 9(8), pages 1-11, August.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.