SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration
16 references·0 citing·33 second hop
Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration (2012)Statistical estimation of multivariate Or…STochastic Modeling of Electricity and Related Markets (2008)STochastic Modeling of Electr…Stochastic Modeling of Electricity and Related Markets (2008)Stochastic Modeling of Electr…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Pairs trading (2005)Pairs tradingApplied Time Series Econometrics (2004)Applied Time Series Econometr…Handbook of heavy tailed distributions in finance (2003)Handbook of heavy tailed dist…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…A Practical Guide to Heavy Tails (2000)A Practical Guide to Heavy Ta…Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger (1999)Cointegration, causality, and…A Practical Guide to Heavy Tails: Statistical Techniques and Applications (1999)A Practical Guide to Heavy Ta…The variation of certain speculative prices (1997)The variation of certain spec…On the Distribution of Stock Price Differences (1967)On the Distribution of Stock …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Brownian Motion in the Stock Market (1959)Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Multifractality in Asset Returns: Theory and Evidence (2002)Cross-Section Regression with Common Shocks (2005)Fractional market dynamics (2000)Estimating long range dependence: finite sample properties and confidence intervals (2001)Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Extreme Value Theory as a Risk Management Tool (1999)Estimation and interpretation of 1/fα noise in human cognition (2004)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Panel unit root tests under cross‐sectional dependence (2005)Commodity prices, interest rates and the dollar (2009)BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era (2013)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)Regularly varying multivariate time series (2008)Extreme events: dynamics, statistics and prediction (2011)Statistical Modeling of Spatial Extremes (2012)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2004Applied Time Series Econometrics1,200 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 1999A Practical Guide to Heavy Tails: Statistical Techniques and Applications639 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 2000A Practical Guide to Heavy Tails451 cited
  • 2002Regular variation of GARCH processes359 cited
  • 2003Handbook of heavy tailed distributions in finance351 cited
  • 1999Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger313 cited
  • 2008STochastic Modeling of Electricity and Related Markets307 cited
  • 2005Pairs trading295 cited
  • 2008Stochastic Modeling of Electricity and Related Markets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

235 cited

Cited by

No citing works inside the corpus for this window.