Search Results - subject:"heavy tails"

A Jump-Diffusion Model for Option Pricing

Kou, S. G. - In: Management Science 48 (2002) 8, pp. 1086-1101

Brownian motion and normal distribution have been widely used in the Black--Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and...

Persistent link: https://www.econbiz.de/10009204515

Modeling electricity loads in California: ARMA models with hyperbolic noise

Nowicka-Zagrajek, Joanna; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2002

In this paper we address the issue of modeling and forecasting electricity loads. We apply a two-step procedure to a series of system-wide loads from the California power market. First, we remove the weekly and annual seasonalities. Then, after analyzing properties of the deseasonalized data we...

Persistent link: https://www.econbiz.de/10009003632

Fat tails and colored noise in financial derivatives

Perelló, Josep; Masoliver, Jaume - In: Physica A: Statistical Mechanics and its Applications 314 (2002) 1, pp. 736-742

We study the effect of heavy tails and correlations on the price of the one of the simplest financial derivative: the …

Persistent link: https://www.econbiz.de/10011057829

Peaks or tails - What distinguishes financial data?

KrÄmer, Walter; Runde, Ralf - In: Empirical Economics 25 (2000) 4, pp. 665-671

We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from "normal" variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data sets...

Persistent link: https://www.econbiz.de/10005382278

A Heavy Traffic Approximation for Workload Processes with Heavy Tailed Service Requirements

Resnick, Sidney; Samorodnitsky, Gennady - In: Management Science 46 (2000) 9, pp. 1236-1248

A system with heavy tailed service requirements under heavy load having a single server has an equilibrium waiting time distribution which is approximated by the Mittag-Leffler distribution. This fact is understood by a direct analysis of the weak convergence of a sequence of negative drift...

Persistent link: https://www.econbiz.de/10009209023

Fourth Moment Structure of a Family of First-Order Exponential GARCH Models

He, C.; Terasvirta, Timo; Malmsten, H. - Finance Discipline Group, Business School - 1999

In this paper we consider the fourth moment structure of a class of first-order Exponential GARCH models. This class contains as special cases both the standard Exponential GARCH model and the symmetric and asymmetric Logarithmic GARCH one. Conditions for the existence of any arbitrary moment...

Persistent link: https://www.econbiz.de/10005112869

Fourth Moment Structure of a Family of First-Order Exponential GARCH Models

He, Changli; Teräsvirta, Timo; Malmsten, Hans - Economics Institute for Research (SIR), … - 1999

Persistent link: https://www.econbiz.de/10005649460

Herd behavior and aggregate fluctuations in financial markets

CONT, Rama; BOUCHAUD, Jean-Philippe - EconWPA - 1997

-known market phenomena: the heavy tails observed in the distribution of stock market returns on one hand and 'herding' behavior in …We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy … tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to …

Persistent link: https://www.econbiz.de/10005134800