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q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations

Published:2013-10 Issue:20 Volume:392 Page:4989-4996
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Katz Yuri A.,Tian Li

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference39 articles.

1. G. Löffler, A. Maurer, Incorporating the dynamics of leverage into default prediction, 2008. SSRN: http://ssrn.com/abstract=1788825.

2. Leverage expectations and bond credit spreads;Flannery;Journal of Financial and Quantitative Analysis (JFQA),2012

3. Credit Risk: Pricing, Measurement, and Management;Duffie,2003

4. Credit Risk Modeling;Lando,2004

5. The Variation of Certain Speculative Prices

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1. Explicit Solution of the Mean-variance Optimal Investment Model for Defined-contribution Pension under Non-extensive Statistical Mechanics;Acta Physica Polonica B;2024

2. Modeling and simulation of financial returns under non-Gaussian distributions;Physica A: Statistical Mechanics and its Applications;2023-07

3. Stock markets: A view from soft matter;Physical Review E;2020-03-17

4. Q -Gaussian diffusion in stock markets;Physical Review E;2019-06-28

5. Topological data analysis of financial time series: Landscapes of crashes;Physica A: Statistical Mechanics and its Applications;2018-02

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