Microfoundations for diffusion price processes
Year of publication: |
2010
|
---|---|
Authors: | Pakkanen, Mikko S. |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 3.2010, 2, p. 89-114
|
Subject: | Börsenkurs | Share price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Herdenverhalten | Herding | Mikrofundierung | Microfoundations | Theorie | Theory |
-
An agent-based stochastic volatility model
Alfarano, Simone, (2006)
-
Mixed normal conditional heteroskedasticity
Haas, Markus, (2002)
-
Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman, (2021)
- More ...
-
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel, (2015)
-
Limit theorems for power variations of ambit fields driven by white noise
Pakkanen, Mikko S., (2013)
-
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Corcuera, José Manuel, (2012)
- More ...