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Volumn 5, Issue 2, 2005, Pages

Escape times in stock markets

Author keywords

Econophysics; Escape time; Nonequilibrium statistical mechanics

Indexed keywords


EID: 23744446555     PISSN: 02194775     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219477505002720     Document Type: Article
Times cited : (26)

References (15)
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    • A long memory property of stock market return and a new model
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    • Ding, Z.1    Granger, C.W.J.2    Engle, R.F.3
  • 8
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation
    • R. F. Engle, Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica 50 (1982) 987-1002.
    • (1982) Econometrica , vol.50 , pp. 987-1002
    • Engle, R.F.1
  • 9
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, J. Econometrics 31 (1986) 307-327.
    • (1986) J. Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 10
    • 84977709229 scopus 로고
    • The price of options on assets with stochastic volatilities
    • H. Hull and J. White, The price of options on assets with stochastic volatilities, J. Finance XLII (1987) 281-300.
    • (1987) J. Finance , vol.42 , pp. 281-300
    • Hull, H.1    White, J.2
  • 11
    • 0037836721 scopus 로고
    • A closed-form solution for options with stochastic volatility with applications to bond an currency options
    • S. L. Heston, A closed-form solution for options with stochastic volatility with applications to bond an currency options, Rev. Financial Studies 6 (1993) 327-343.
    • (1993) Rev. Financial Studies , vol.6 , pp. 327-343
    • Heston, S.L.1
  • 12
    • 0036949915 scopus 로고    scopus 로고
    • Volatility in financial markets: Stochastic models and empirical results
    • S. Miccichè, G. Bonanno, F. Lillo and R. N. Mantegna, Volatility in financial markets: stochastic models and empirical results, Physica A 314 (2002) 756-761.
    • (2002) Physica A , vol.314 , pp. 756-761
    • Miccichè, S.1    Bonanno, G.2    Lillo, F.3    Mantegna, R.N.4
  • 13
    • 85008828877 scopus 로고    scopus 로고
    • Probability distribution of return in the Heston model with stochastic volatility
    • A. A. Dragulescu and V. M. Yakovenko, Probability distribution of return in the Heston model with stochastic volatility, Quantitative Finance 2 (2002) 443-453.
    • (2002) Quantitative Finance , vol.2 , pp. 443-453
    • Dragulescu, A.A.1    Yakovenko, V.M.2
  • 15
    • 0001917976 scopus 로고
    • Conditional heteroskedasticity in time series of stock returns: Evidence and forecasts
    • V. Akgiray, Conditional heteroskedasticity in time series of stock returns: evidence and forecasts, J. Business 62 (1989) 55-80.
    • (1989) J. Business , vol.62 , pp. 55-80
    • Akgiray, V.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.