A MCMC Analysis of Time-Changed Levy Processes of Stock Return Dynamics

Keywords

Econometrics, Markov chain Monte Carlo, Lévy process, Stock (firearms), Economics

References

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Cited by

• The Multivariate Variance Gamma Process and Its Applications in Multi-asset Option PricingJun Wang — 2009
• Modeling Financial Security Returns Using Levy ProcessesLiuren Wu — 2006
• Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility ModelsViktor Todorov, George Tauchen — 2006
• Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and ExtremesGurdip Bakshi, Dilip B. Madan, George Panayotov — 2010
• Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium AnalysisGeorge Tauchen — 2004
• The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble PeriodGurdip Bakshi, Liuren Wu — 2010
• Simulation Methods for L ? vy-Driven Continuous-Time Autoregressive Moving Average ( CARMA ) Stochastic Volatility ModelsV. Todorov — 2011
• Bayesian Methods for High Frequency Financial Time Series AnalysisJames M. Murphy — 2010

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• Option pricing when underlying stock returns are discontinuousRobert C. Merton — 1976
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