메뉴 건너뛰기




Volumn 283, Issue 3, 2000, Pages 486-528

Scaling in the Norwegian stock market

Author keywords

[No Author keywords available]

Indexed keywords

CHAOS THEORY; FRACTALS; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES; SALES; TIME SERIES ANALYSIS;

EID: 0034248327     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(00)00212-0     Document Type: Article
Times cited : (80)

References (35)
  • 3
    • 0000480869 scopus 로고
    • Efficient capital markets: A review of theory and empirical work
    • E.F. Fama, Efficient capital markets: a review of theory and empirical work, J. Finance (1970) 383-417.
    • (1970) J. Finance , pp. 383-417
    • Fama, E.F.1
  • 6
    • 0002421881 scopus 로고
    • The variation of certain speculative prices
    • in: P. Cootner (Ed.), MIT Press, Cambridge
    • B. Mandelbrot, The variation of certain speculative prices, in: P. Cootner (Ed.), The Random Character of Stock Prices, MIT Press, Cambridge, 1964.
    • (1964) The Random Character of Stock Prices
    • Mandelbrot, B.1
  • 10
    • 8344223565 scopus 로고
    • Scaling behaviour in the dynamics of an economic index
    • Mantegna R.N., Stanley H.E. Scaling behaviour in the dynamics of an economic index. Nature. 376:1995;46-49.
    • (1995) Nature , vol.376 , pp. 46-49
    • Mantegna, R.N.1    Stanley, H.E.2
  • 13
    • 26544444702 scopus 로고
    • Statistical study of foreign exchange rates, empirical evidence of price change scaling law and intraday analysis
    • Müller U.A., Dacorogna M.M., Olsen R.B., Pictet O.V., Schwarz M., Morgenegg C. Statistical study of foreign exchange rates, empirical evidence of price change scaling law and intraday analysis. J. Banking Finance. 14:1995;1189-1208.
    • (1995) J. Banking Finance , vol.14 , pp. 1189-1208
    • Müller, U.A.1    Dacorogna, M.M.2    Olsen, R.B.3    Pictet, O.V.4    Schwarz, M.5    Morgenegg, C.6
  • 15
    • 0003586464 scopus 로고
    • New York: Plenum Press
    • Feder J. Fractals. 1988;Plenum Press, New York.
    • (1988) Fractals
    • Feder, J.1
  • 16
    • 0003410290 scopus 로고
    • Princeton, NJ: Princeton University Press
    • Hamilton J.D. Time series analysis. 1994;Princeton University Press, Princeton, NJ.
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 17
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation
    • Engle R. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica. 50:1982;987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.1
  • 18
    • 0000029776 scopus 로고
    • Efficient capital markets: II
    • Fama E.F. Efficient capital markets: II. J. Finance. 46:1991;1575-1617.
    • (1991) J. Finance , vol.46 , pp. 1575-1617
    • Fama, E.F.1
  • 19
    • 84897913178 scopus 로고
    • Robustness of the rescaled range R/S in the measurement of non-cyclic long run statistical dependence
    • Mandelbrot B., Wallis J.R. Robustness of the rescaled range. R/S in the measurement of non-cyclic long run statistical dependence Water Resour. Res. 5:1969.
    • (1969) Water Resour. Res. , vol.5
    • Mandelbrot, B.1    Wallis, J.R.2
  • 20
    • 0000140166 scopus 로고
    • Long-term memory in stock market prices
    • Lo A.W. Long-term memory in stock market prices. Econometrica. 59(5):1991;1279-1313.
    • (1991) Econometrica , vol.59 , Issue.5 , pp. 1279-1313
    • Lo, A.W.1
  • 21
    • 0000501589 scopus 로고
    • Fractional Brownian motion, fractional noises and applications
    • Mandelbrot B., Ness J.Van Fractional Brownian motion, fractional noises and applications. SIAM Rev. 10:1968.
    • (1968) SIAM Rev. , vol.10
    • Mandelbrot, B.1    Ness, J.V.2
  • 22
    • 0017295261 scopus 로고
    • The expected value of the adjusted rescaled hurst range of independent normal summands
    • Anis A.A., Lloyd E.H. The expected value of the adjusted rescaled hurst range of independent normal summands. Biometrika. 63:1976.
    • (1976) Biometrika , vol.63
    • Anis, A.A.1    Lloyd, E.H.2
  • 23
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • F. Black, M. Scholes, The pricing of options and corporate liabilities, J. Pol. Economy (1973) .
    • (1973) J. Pol. Economy
    • Black, F.1    Scholes, M.2
  • 25
    • 0002528209 scopus 로고
    • The behaviour of stock market prices
    • Fama E.F. The behaviour of stock market prices. J. Bus. 38:1965.
    • (1965) J. Bus. , vol.38
    • Fama, E.F.1
  • 26
    • 4244129908 scopus 로고
    • Stochastic process with ultraslow convergence to a gaussian: The truncated Lévy flight
    • Mantegna R.N., Stanley H.E. Stochastic process with ultraslow convergence to a gaussian: the truncated Lévy flight. Phys. Rev. Lett. 73:1994;2916-2919.
    • (1994) Phys. Rev. Lett. , vol.73 , pp. 2916-2919
    • Mantegna, R.N.1    Stanley, H.E.2
  • 27
    • 0032070111 scopus 로고    scopus 로고
    • Modeling of financial data: Comparison of the truncated lévy flight and the ARCH(1) and GARCH(1,1) processes
    • Mantegna R.N., Stanley H.E. Modeling of financial data: Comparison of the truncated lévy flight and the ARCH(1) and GARCH(1,1) processes. Physica A. 254:1998;77-84.
    • (1998) Physica a , vol.254 , pp. 77-84
    • Mantegna, R.N.1    Stanley, H.E.2
  • 28
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • Fama E.F., French K.R. Permanent and temporary components of stock prices. J. Pol. Economy. 21:1988;246-267.
    • (1988) J. Pol. Economy , vol.21 , pp. 246-267
    • Fama, E.F.1    French, K.R.2
  • 30
    • 85031568214 scopus 로고    scopus 로고
    • Option pricing for truncated Lévy Processes under transaction costs
    • submitted for publication
    • S.I. Boyarchanko, S.Z. Levendorksi, Option pricing for truncated Lévy Processes under transaction costs, Appl. Math. Finance (1999) submitted for publication.
    • (1999) Appl. Math. Finance
    • Boyarchanko, S.I.1    Levendorksi, S.Z.2
  • 31
    • 0000893807 scopus 로고
    • Do stock prices move too much to be justified by subsequent changes in dividends
    • Shiller R.J. Do stock prices move too much to be justified by subsequent changes in dividends. Amer. Econom. Rev. 71:1981;421-436.
    • (1981) Amer. Econom. Rev. , vol.71 , pp. 421-436
    • Shiller, R.J.1
  • 32
    • 0000881396 scopus 로고
    • Efficient capital markets and martingales
    • LeRoy S.F. Efficient capital markets and martingales. J. Econom. Lit. 27:1989;1583-1621.
    • (1989) J. Econom. Lit. , vol.27 , pp. 1583-1621
    • Leroy, S.F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.