Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125280086> ?p ?o ?g. }
Showing items 1 to 71 of
71
with 100 items per page.
- W3125280086 abstract "Subordination is an often used stochastic process in modeling asset prices. Subordinated Levy price processes and local volatility price processes are now the main tools in modern dynamic asset pricing theory. In this paper, we introduce the theory of multiple internally embedded financial time-clocks motivated by behavioral finance. To be consistent with dynamic asset pricing theory and option pricing, as suggested by behavioral finance, the investors' view is considered by introducing an intrinsic time process which we refer to as a behavioral subordinator. The process is subordinated to the Brownian motion process in the well-known log-normal model, resulting in a new log-price process. The number of embedded subordinations results in a new parameter that must be estimated and this parameter is as important as the mean and variance of asset returns. We describe new distributions, demonstrating how they can be applied to modeling the tail behavior of stock market returns. We apply the proposed models to modeling S&P 500 returns, treating the CBOE Volatility Index as intrinsic time change and the CBOE Volatility-of-Volatility Index as the volatility subordinator. We find that these volatility indexes are not proper time-change subordinators in modeling the returns of the S&P 500." @default.
- W3125280086 created "2021-02-01" @default.
- W3125280086 creator A5016612974 @default.
- W3125280086 creator A5055304783 @default.
- W3125280086 creator A5090832885 @default.
- W3125280086 date "2019-01-01" @default.
- W3125280086 modified "2023-09-25" @default.
- W3125280086 title "Multiple Subordinated Modeling of Asset Returns" @default.
- W3125280086 hasPublicationYear "2019" @default.
- W3125280086 type Work @default.
- W3125280086 sameAs 3125280086 @default.
- W3125280086 citedByCount "0" @default.
- W3125280086 crossrefType "posted-content" @default.
- W3125280086 hasAuthorship W3125280086A5016612974 @default.
- W3125280086 hasAuthorship W3125280086A5055304783 @default.
- W3125280086 hasAuthorship W3125280086A5090832885 @default.
- W3125280086 hasConcept C101615488 @default.
- W3125280086 hasConcept C105795698 @default.
- W3125280086 hasConcept C106159729 @default.
- W3125280086 hasConcept C136264566 @default.
- W3125280086 hasConcept C149782125 @default.
- W3125280086 hasConcept C162324750 @default.
- W3125280086 hasConcept C181236170 @default.
- W3125280086 hasConcept C2780378061 @default.
- W3125280086 hasConcept C2781362121 @default.
- W3125280086 hasConcept C33923547 @default.
- W3125280086 hasConcept C68710425 @default.
- W3125280086 hasConcept C85393063 @default.
- W3125280086 hasConcept C88757350 @default.
- W3125280086 hasConcept C91602232 @default.
- W3125280086 hasConceptScore W3125280086C101615488 @default.
- W3125280086 hasConceptScore W3125280086C105795698 @default.
- W3125280086 hasConceptScore W3125280086C106159729 @default.
- W3125280086 hasConceptScore W3125280086C136264566 @default.
- W3125280086 hasConceptScore W3125280086C149782125 @default.
- W3125280086 hasConceptScore W3125280086C162324750 @default.
- W3125280086 hasConceptScore W3125280086C181236170 @default.
- W3125280086 hasConceptScore W3125280086C2780378061 @default.
- W3125280086 hasConceptScore W3125280086C2781362121 @default.
- W3125280086 hasConceptScore W3125280086C33923547 @default.
- W3125280086 hasConceptScore W3125280086C68710425 @default.
- W3125280086 hasConceptScore W3125280086C85393063 @default.
- W3125280086 hasConceptScore W3125280086C88757350 @default.
- W3125280086 hasConceptScore W3125280086C91602232 @default.
- W3125280086 hasLocation W31252800861 @default.
- W3125280086 hasOpenAccess W3125280086 @default.
- W3125280086 hasPrimaryLocation W31252800861 @default.
- W3125280086 hasRelatedWork W1555352969 @default.
- W3125280086 hasRelatedWork W1568741794 @default.
- W3125280086 hasRelatedWork W1596212497 @default.
- W3125280086 hasRelatedWork W2006093709 @default.
- W3125280086 hasRelatedWork W2165912101 @default.
- W3125280086 hasRelatedWork W2168505813 @default.
- W3125280086 hasRelatedWork W2188762326 @default.
- W3125280086 hasRelatedWork W2966072888 @default.
- W3125280086 hasRelatedWork W3033826499 @default.
- W3125280086 hasRelatedWork W3121755837 @default.
- W3125280086 hasRelatedWork W3122823468 @default.
- W3125280086 hasRelatedWork W3123212973 @default.
- W3125280086 hasRelatedWork W3125308425 @default.
- W3125280086 hasRelatedWork W3125457273 @default.
- W3125280086 hasRelatedWork W3163535650 @default.
- W3125280086 hasRelatedWork W3177117823 @default.
- W3125280086 hasRelatedWork W33099427 @default.
- W3125280086 hasRelatedWork W53360850 @default.
- W3125280086 hasRelatedWork W621526315 @default.
- W3125280086 hasRelatedWork W626695261 @default.
- W3125280086 isParatext "false" @default.
- W3125280086 isRetracted "false" @default.
- W3125280086 magId "3125280086" @default.
- W3125280086 workType "article" @default.