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The Variation of Some Other Speculative Prices

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  1. Christoph Czichowsky & Rémi Peyre & Walter Schachermayer & Junjian Yang, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Post-Print hal-02373296, HAL.
  2. Yuri Biondi & Simone Righi, 2019. "Inequality, mobility and the financial accumulation process: a computational economic analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(1), pages 93-119, March.
  3. Till Massing, 2019. "What is the best Lévy model for stock indices? A comparative study with a view to time consistency," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(3), pages 277-344, September.
  4. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
  5. T. Di Matteo & T. Aste & M. M. Dacorogna, 2003. "Using the Scaling Analysis to Characterize Financial Markets," Papers cond-mat/0302434, arXiv.org.
  6. Ladislav Kristoufek, 2018. "Power-law cross-correlations: Issues, solutions and future challenges," Papers 1806.01616, arXiv.org.
  7. Alvaro Cartea & Sam Howison, 2002. "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series 2002mf04, Oxford Financial Research Centre.
  8. Simone Polillo, 2018. "Market efficiency as a revolution in data analysis," Economic Anthropology, Wiley Blackwell, vol. 5(2), pages 198-209, June.
  9. Alentorn, Amadeo & Markose, Sheri M, 2006. "Removing Maturity Effects of Implied Risk Neutral Densities and Related Statistics," Economics Discussion Papers 3722, University of Essex, Department of Economics.
  10. K. D. Patterson & S. M. Heravi, 2003. "The impact of fat-tailed distributions on some leading unit roots tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(6), pages 635-667.
  11. Basnarkov, Lasko & Stojkoski, Viktor & Utkovski, Zoran & Kocarev, Ljupco, 2019. "Correlation patterns in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1026-1037.
  12. Chan, Felix, 2009. "Modelling time-varying higher moments with maximum entropy density," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2767-2778.
  13. Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
  14. Beirlant, J. & Schoutens, W. & Segers, J.J.J., 2004. "Mandelbrot's Extremism," Other publications TiSEM 34027632-2f60-44af-a2ed-e, Tilburg University, School of Economics and Management.
  15. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  16. Christoph Czichowsky & Rémi Peyre & Walter Schachermayer & Junjian Yang, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Finance and Stochastics, Springer, vol. 22(1), pages 161-180, January.
  17. Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
  18. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415.
  19. Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
  20. Nirei, Makoto & Stachurski, John & Watanabe, Tsutomu, 0. "Trade clustering and power laws in financial markets," Theoretical Economics, Econometric Society.
  21. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
  22. Dubovikov, M.M & Starchenko, N.V & Dubovikov, M.S, 2004. "Dimension of the minimal cover and fractal analysis of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 339(3), pages 591-608.
  23. Yacin Jerbi, 2015. "A new closed-form solution as an extension of the Black-Scholes formula allowing smile curve plotting," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 2041-2052, December.
  24. Yang, Chunxia & Zhu, Xueshuai & Li, Qian & Chen, Yanhua & Deng, Qiangqiang, 2014. "Research on the evolution of stock correlation based on maximal spanning trees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 1-18.
  25. Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurram S. & Khan, Maaz, 2020. "On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic," MPRA Paper 102458, University Library of Munich, Germany, revised Jul 2020.
  26. Azimi, Mohammad Naim, 2015. "Modelling the Clustering Volatility of India's Wholesales Price Index and the Factors Affecting it," MPRA Paper 70267, University Library of Munich, Germany.
  27. D. M. Mahinda Samarakoon & Keith Knight, 2009. "A Note on Unit Root Tests with Infinite Variance Noise," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 314-334.
  28. Lordkipanidze, Nasibrola & Tomek, William, 2014. "Pricing of Options with STochastic Volatilities: Application to Agricultural Commodity Contracts," Staff Papers 189185, Cornell University, Department of Applied Economics and Management.
  29. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010. "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 195-211, March.
  30. Jonas Rothfuss & Fabio Ferreira & Simon Walther & Maxim Ulrich, 2019. "Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks," Papers 1903.00954, arXiv.org, revised Apr 2019.
  31. Fatma Ozgu Serttas, 2018. "Infinite-Variance Error Structure in Finance and Economics," International Econometric Review (IER), Econometric Research Association, vol. 10(1), pages 14-23, April.
  32. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
  33. Chappell, Daniel, 2018. "Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models," MPRA Paper 90682, University Library of Munich, Germany.
  34. George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 95-143, January.
  35. Naik, Shanoja R. & Abraham, Bovas, 2013. "The fractional-diffusion equation and a new distribution to model positively skewed data with heavy tails," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1759-1769.
  36. Yan, Hanhuan & Han, Liyan, 2019. "Empirical distributions of stock returns: Mixed normal or kernel density?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 473-486.
  37. Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 8(2), pages 1-13, May.
  38. Tastan, Hüseyin, 2006. "Estimating time-varying conditional correlations between stock and foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 445-458.
  39. Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014. "Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
  40. Czichowsky, Christoph Johannes & Peyre, Rémi & Schachermayer, Walter & Yang, Junjian, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," LSE Research Online Documents on Economics 85230, London School of Economics and Political Science, LSE Library.
  41. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare [Some particularities of the financial variables evolution]," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
  42. Pontines, Victor & Siregar, Reza, 2009. "Intervention index and exchange rate regimes: the cases of selected East-Asian economies," MPRA Paper 17138, University Library of Munich, Germany.
  43. Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.
  44. Stavros Stavroyiannis & Leonidas Zarangas, 2013. "Out of Sample Value-at-Risk and Backtesting with the Standardized Pearson Type-IV Skewed Distribution," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 231-247, April.
  45. Krastyu Georgiev & Young Kim & Stoyan Stoyanov, 2015. "Periodic portfolio revision with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(3), pages 337-359, June.
  46. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group.
  47. Victor Pontines & Reza Siregar, 2006. "Exchange Market Intervention and Evidence of Post-Crisis Flexible Exchange Rate Regimes in Selected East Asian Economies," Centre for International Economic Studies Working Papers 2006-01, University of Adelaide, Centre for International Economic Studies.
  48. Tsionas, Efthymios G., 1998. "Monte Carlo inference in econometric models with symmetric stable disturbances," Journal of Econometrics, Elsevier, vol. 88(2), pages 365-401, November.
  49. Fathi Abid & Moncef Habibi, 2010. "Hedging Transaction Exposure within the Context of a Basket Foreign Exchange Rate Arrangement," Working Papers 523, Economic Research Forum, revised 05 Jan 2010.
  50. Jungjun Choi & In Choi, 2019. "Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1121-1142, October.
  51. A. K. M. Azhar & Vincent B. Y. Gan & W. A. T. Wan Abdullah & H. Zainuddin, 2015. "On the Fractal Geometry of the Balance Sheet and the Fractal Index of Insolvency Risk," Papers 1512.09280, arXiv.org.
  52. Pierre Perron & Eduardo Zorita & Iliyan Georgiev & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2017. "Unit Root Tests and Heavy-Tailed Innovations," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 733-768, September.
  53. Reza Siregar & Victor Pontines, 2004. "Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies," Centre for International Economic Studies Working Papers 2004-04, University of Adelaide, Centre for International Economic Studies.
  54. Lin, Bing-Huei & Yeh, Shih-Kuo, 2000. "On the distribution and conditional heteroscedasticity in Taiwan stock prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 367-395, December.
  55. Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
  56. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical distributions of Chinese stock returns at different microscopic timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
  57. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  58. Czichowsky, Christoph & Schachermayer, Walter, 2017. "Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion," LSE Research Online Documents on Economics 67689, London School of Economics and Political Science, LSE Library.
  59. De Giovanni, Domenico & Ortobelli, Sergio & Rachev, Svetlozar, 2008. "Delta hedging strategies comparison," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1615-1631, March.
  60. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
  61. Caner, Mehmet, 1998. "Tests for cointegration with infinite variance errors," Journal of Econometrics, Elsevier, vol. 86(1), pages 155-175, June.
  62. Beirlant, J. & Schoutens, W. & Segers, J.J.J., 2004. "Mandelbrot's Extremism," Discussion Paper 2004-125, Tilburg University, Center for Economic Research.
  63. Christoph Czichowsky & R'emi Peyre & Walter Schachermayer & Junjian Yang, 2016. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Papers 1608.01415, arXiv.org.
  64. Cem Çağrı Dönmez & Abdulkadir Atalan, 2019. "Developing Statistical Optimization Models for Urban Competitiveness Index: Under the Boundaries of Econophysics Approach," Complexity, Hindawi, vol. 2019, pages 1-11, November.
  65. Abhinav Anand & Tiantian Li & Tetsuo Kurosaki & Young Shin Kim, 2017. "The equity risk posed by the too-big-to-fail banks: a Foster–Hart estimation," Annals of Operations Research, Springer, vol. 253(1), pages 21-41, June.
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  67. Steven Kou, 2000. "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability," Econometric Society World Congress 2000 Contributed Papers 0062, Econometric Society.
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