Archivio istituzionale della ricerca dell'Università degli Studi di Palermo
IRIS è il sistema di gestione integrata dei dati della ricerca (persone, pubblicazioni, progetti, attività) adottato dall’Università di Palermo, e ha lo scopo di raccogliere, conservare, documentare, e diffondere ad accesso aperto le informazioni relative alla produzione scientifica degli autori afferenti all’Ateneo.
EnglishWe investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fail in describing the empirical pdf over a moderately large volatility range. © 2002 Elsevier Science B.V. All rights reserved.
Micciche', S., Bonanno, G., Lillo, F., & Mantegna, R. (2002). Volatility in financial markets: Stochastic models and empirical results. PHYSICA. A, 314(1-4), 756-761.
| Data di pubblicazione: | 2002 |
| Titolo: | Volatility in financial markets: Stochastic models and empirical results |
| Autori: | |
| Citazione: | Micciche', S., Bonanno, G., Lillo, F., & Mantegna, R. (2002). Volatility in financial markets: Stochastic models and empirical results. PHYSICA. A, 314(1-4), 756-761. |
| Rivista: | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/S0378-4371(02)01187-1 |
| Abstract: | We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fail in describing the empirical pdf over a moderately large volatility range. © 2002 Elsevier Science B.V. All rights reserved. |
| Settore Scientifico Disciplinare: | Settore FIS/07 - Fisica Applicata(Beni Culturali, Ambientali, Biol.e Medicin) |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| PAPERPA2.pdf | N/A | Administrator Richiedi una copia |
http://hdl.handle.net/10447/201963
Copyright © 2021