IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "A Compound Events Model for Security Prices"

by S. James Press

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Kirchler, Michael & Huber, Jürgen, 2009. "An exploration of commonly observed stylized facts with data from experimental asset markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1631-1658.
  2. Jos\'e E. Figueroa-L\'opez & Ruoting Gong & Christian Houdr\'e, 2012. "High-order short-time expansions for ATM option prices of exponential L\'evy models," Papers 1208.5520, arXiv.org, revised Apr 2014.
  3. López Martín, María del Mar & García, Catalina García & García Pérez, José, 2012. "Treatment of kurtosis in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2032-2045.
  4. Osman Kilic & David Tufte & M. Hassan, 1999. "The 1994–1995 Mexican Currency Crisis and U.S. Bank Stock Returns," Journal of Financial Services Research, Springer, vol. 16(1), pages 47-60, September.
  5. Robert Chirinko & Hisham Foad, 2006. "Noise vs. News in Equity Returns," CESifo Working Paper Series 1812, CESifo Group Munich.
  6. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 39-55.
  7. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA.
  8. Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the "weekend effect"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19.
  9. Michael S. Gibson, 2001. "Incorporating event risk into value-at-risk," Finance and Economics Discussion Series 2001-17, Board of Governors of the Federal Reserve System (U.S.).
  10. Wan-Hsiu Cheng, 2008. "Overestimation in the Traditional GARCH Model During Jump Periods," Economics Bulletin, AccessEcon, vol. 3(68), pages 1-20.
  11. Longin, Francois, 2005. "The choice of the distribution of asset returns: How extreme value theory can help?," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 1017-1035, April.
  12. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  13. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
  14. repec:wyi:journl:002088 is not listed on IDEAS
  15. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
  16. Roel C. A. Oomen, 2005. "Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(4), pages 555-577.
  17. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers 2012-56, School of Economics and Management, University of Aarhus.
  18. Shafiee, Shahriar & Topal, Erkan, 2010. "An overview of global gold market and gold price forecasting," Resources Policy, Elsevier, vol. 35(3), pages 178-189, September.
  19. Chenghu Ma, 2013. "MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps," Papers 2013-10-14, Working Paper.
  20. Hassan Omidi Firouzi & Andrew Luong, 2014. "Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical," Papers 1406.7040, arXiv.org.
  21. Eduardo Martínez Chombo, 2005. "Decomposing electricity prices with jumps," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 20(1), pages 27-52.
  22. Jan Novotný & Jan Hanousek & Evžen Kočenda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
  23. Jennifer Lynch Koski & Jeffrey Pontiff, 1999. "How Are Derivatives Used? Evidence from the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 54(2), pages 791-816, 04.
  24. Cyrus Ramezani & Yong Zeng, 2007. "Maximum likelihood estimation of the double exponential jump-diffusion process," Annals of Finance, Springer, vol. 3(4), pages 487-507, October.
  25. Noureddine Krichene, 2006. "Recent Dynamics of Crude Oil Prices," IMF Working Papers 06/299, International Monetary Fund.
  26. Sandro Sapio, 2004. "Markets Design, Bidding Rules, and Long Memory in Electricity Prices," Revue d'Économie Industrielle, Programme National Persée, vol. 107(1), pages 151-170.
  27. Chenghu Ma, 2013. "Preferences, L�vy Jumps and Option Pricing," Papers 2013-10-14, Working Paper.
  28. Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.
  29. repec:ebl:ecbull:v:3:y:2008:i:68:p:1-20 is not listed on IDEAS
  30. Giulio Bottazzi & Sandro Sapio & Angelo Secchi, 2004. "Some Statistical Investigations on the Nature and Dynamics of Electricity Prices," LEM Papers Series 2004/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  31. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  32. Ait-Sahalia, Yacine, 2004. "Disentangling diffusion from jumps," Journal of Financial Economics, Elsevier, vol. 74(3), pages 487-528, December.
  33. Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.
  34. Fung, Thomas & Wang, Joanna J.J. & Seneta, Eugene, 2013. "Contaminated Variance–Mean mixing model," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 258-267.
  35. Felipe Aparicio & Javier Estrada, 2001. "Empirical distributions of stock returns: European securities markets, 1990-95," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 1-21.
  36. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  37. Kaehler, Jürgen & Marnet, Volker, 1993. "Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options," ZEW Discussion Papers 93-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  38. Jos\'e E. Figueroa-L\'opez & Ruoting Gong & Christian Houdr\'e, 2011. "High-order short-time expansions for ATM option prices under the CGMY model," Papers 1112.3111, arXiv.org, revised Aug 2012.
  39. Han, Young Wook, 2007. "High frequency perspective on jump process, long memory property and temporal aggregation: Case of $-AUD exchange rates," Japan and the World Economy, Elsevier, vol. 19(2), pages 248-262, March.
  40. Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  41. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
  42. Mark J Jensen & John M Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Papers tecipa-314, University of Toronto, Department of Economics.
  43. Ales Čern�, 2007. "Optimal Continuous-Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203.
  44. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
  45. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society.
  46. Kirchler, Michael & Huber, Jurgen, 2007. "Fat tails and volatility clustering in experimental asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1844-1874, June.
  47. Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany.
  48. George Skiadopoulos & Dimitris Psychoyios, 2006. "Implied Volatility Process: Evidence from the Volatility Derivatives Markets," Working Papers wpn06-17, Warwick Business School, Finance Group.
  49. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  50. Haigang Zhou & John Zhu, 2011. "Jump risk and cross section of stock returns: evidence from China’s stock market," Journal of Economics and Finance, Springer, vol. 35(3), pages 309-331, July.
  51. Peiro, Amado, 1999. "Skewness in financial returns," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 847-862, June.
  52. J. Ledolter, 1979. "Inference robustness of ARIMA models under non-normality —Special application to stock price data," Metrika, Springer, vol. 26(1), pages 43-56, December.
  53. Askari, Hossein & Krichene, Noureddine, 2008. "Oil price dynamics (2002-2006)," Energy Economics, Elsevier, vol. 30(5), pages 2134-2153, September.
  54. Yan, Shu, 2011. "Jump risk, stock returns, and slope of implied volatility smile," Journal of Financial Economics, Elsevier, vol. 99(1), pages 216-233, January.
  55. Christian Gabriel & Christian Lau, 2014. "On the distribution of government bond returns: evidence from the EMU," Financial Markets and Portfolio Management, Springer, vol. 28(2), pages 181-203, May.
  56. Philip Kostov & Seamus McErlean, 2004. "Estimating the probability of large negative stock market," Finance 0409011, EconWPA.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.