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A model for stock market returns: non-Gaussian fluctuations and financial factors

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  • B. Craven
  • Sardar Islam

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  • B. Craven & Sardar Islam, 2008. "A model for stock market returns: non-Gaussian fluctuations and financial factors," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 355-370, May.
    • Handle: RePEc:kap:rqfnac:v:30:y:2008:i:4:p:355-370
    DOI: 10.1007/s11156-007-0066-3
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    References listed on IDEAS

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    1. Christiansen, Charlotte, 2008. "Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 925-948, December.
    2. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
    3. Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
    4. De Long, J Bradford, et al, 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
    5. Rahman, Shafiqur & Lee, Cheng-few & Ang, Kian Ping, 2002. "Intraday Return Volatility Process: Evidence from NASDAQ Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 19(2), pages 155-180, September.
    6. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006. "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 121(2), pages 461-504.
    7. Kapopoulos, Panayotis & Siokis, Fotios, 2005. "Stock market crashes and dynamics of aftershocks," Economics Letters, Elsevier, vol. 89(1), pages 48-54, October.
    8. Sampson, Michael, 2003. "New Eras and Stock Market Bubbles," Structural Change and Economic Dynamics, Elsevier, vol. 14(3), pages 297-315, September.
    9. Ratti, Ronald A. & Seo, Jeonghee, 2003. "Multiple equilibria and currency crisis: evidence for Korea," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 681-696, October.
    10. Kettell, Brian, 2001. "Economics for Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780750653848.
    11. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71(5), pages 421-421.
    12. Fernandes, Marcelo, 2006. "Financial crashes as endogenous jumps: estimation, testing and forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 111-141, January.
    13. Raúl Susmel & Madhu Kalimipalli, 2001. "Regime-Switching Stochastic Volatility and Short-Term Interest Rates," CEMA Working Papers: Serie Documentos de Trabajo. 197, Universidad del CEMA.
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    Cited by:

    1. B. D. Craven & Sardar M. N. Islam, 2015. "Stock Price Modeling: Separation of Trend and Fluctuations, and Implications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-12, December.
    2. Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen, 2016. "Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 459-482, April.
    3. Lawrence R. Thorne, 2011. "Fat Tails Quantified and Resolved: A New Distribution to Reveal and Characterize the Risk and Opportunity Inherent in Leptokurtic Data," Papers 1110.6553, arXiv.org.

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    More about this item

    Keywords

    Aggregate stock prices; Returns; Diflogs; Positive feedback; Phases; Kurtosis; Optimism factor; Credit; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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