Combined multiplicative–Heston model for stochastic volatility-Reference-Cited by-同舟云学术

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Combined multiplicative–Heston model for stochastic volatility

Published:2021-01 Issue: Volume:561 Page:125263
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:

Dashti Moghaddam M.,Serota R.A.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference35 articles.

1. The empirical distribution of uk and us stock returns;Harris;J. Bus. Finance Account.,2001

2. Stable and generalized-t distributions and applications;Rathie;Commun. Nonlinear Sci. Numer. Simul.,2012

3. Model for non-Gaussian intraday stock returns;Gerig;Phys. Rev. E,2009

4. Long memory behavior of returns after intraday financial jumps;Behfar;Physica A,2016

5. Probability distribution of returns in the heston model with stochastic volatility;Dragulescu;Quant. Finance,2002

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1. Exploring Distributions of House Prices and House Price Indices;Economies;2024-02-14

2. Are There Dragon Kings in the Stock Market?;Foundations;2024-02-08

3. Rethinking Generalized Beta family of distributions;The European Physical Journal B;2023-02

4. Distributions of historic market data: relaxation and correlations;The European Physical Journal B;2021-04

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