Theodosiadou, Ourania; Polimenis, Vassilis; Tsaklidis, … - In: The Journal of Risk Finance 17 (2016) 4, pp. 456-472
Purpose This paper aims to present the results of further investigating the Polimenis (2012) stochastic model, which aims to decompose the stock return evolution into positive and negative jumps, and a Brownian noise (white noise), by taking into account different noise levels. This paper...