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Stochastic processes directed by randomized time
7 references·1 citing·25 second hop
Stochastic processes directed by randomized time (1993)Stochastic processes directed by randomiz…The variation of certain speculative prices (1997)The variation of certain spec…The Stable-Law Model of Stock Returns (1988)The Stable-Law Model of Stock…The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models (1977)The Distribution of Common St…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…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…Distributional properties of the negative binomial Lévy process (2009)Distributional properties of …Spatial Processes, Models and Applications (1983)Financial Modelling with Jump Processes (2003)Lévy processes in finance pricing financial derivatives (2003)General theory of geometric Lévy models for dynamic asset pricing (2012)Counting processes with Bernštein intertimes and random jumps (2015)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)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)The Distribution of Stock Returns: New Evidence Against the Stable Model (1990)Estimating the Density Tail Index for Financial Time Series (1997)Measuring Tail Thickness to Estimate the Stable Index α: A Critique (1997)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)The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literature (2001)The Availability Heuristic and Investors' Reaction to Company-Specific Events (2010)Intraday volatility interaction between the crude oil and equity markets (2015)
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
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 1988The Stable-Law Model of Stock Returns240 cited
  • 1977The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models152 cited

Cited by

  • 2009Distributional properties of the negative binomial Lévy process50 cited

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