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Zero covariation returns
1. Robert H. Smith School of Business, University of Maryland, College Park 20742, MD, USA; |
2. Department of Mathematics, K. U. Leuven, Leuven, Belgium |
References:
[1] |
Akaike, H:Information theory and an extension of the maximum likelihood principle. In:Petrov, BN, Csáki, F (eds.) 2nd International Symposium on Information Theory, Tsahkasdor, Armenia, USSR, September 2-8, 1971, pp. 267-281. Akadémiai Kiadó, Budapest (1973), |
[2] |
Andersen, TW, Darling, DA:Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes. Ann. Math. Stat. 23, 193-212 (1952). https://doi.org/10.1214/aoms/1177729437, |
[3] |
Barndorff-Nielsen, OE, Shephard, N:Econometric Analysis of Realized Covariation:High Frequency Based Covariance, Regression and Correlation. Econometrica. 72, 885-925 (2004), |
[4] |
Bass, RF:Uniqueness in law for Pure Jump Markov Processes. Probab. Theory. 79, 271-287 (1988), |
[5] |
Bonanno, G, Lillo, F, Mantegna, RN:High-frequency Cross-correlation in a Set of Stocks. Quant. Finan. 1, 96-104 (2001), |
[6] |
Buchmann, B, Madan, DB, Lu, K:Weak Subordination of Multivariate Lavy Processes. Research School of Finance, Actuarial Studies and Statistics, Australian National University, Canberra (2016), |
[7] |
Carr, P, Geman, H, Madan, D, Yor, M:The Fine Structure of Asset Returns:An Empirical Investigation. J. Bus. 75, 305-332 (2002), |
[8] |
Carr, P, Madan, DB:Joint Modeling of VIX and SPX options at a single and common maturity with risk management applications. IIE Trans. 46, 1125-1131 (2014), |
[9] |
Carr, P, Wu, L:Time-Changes Lévy processes and option pricing. J. Finan. Econ. 71, 113-141 (2004), |
[10] |
Cherny, A, Madan, DB:New Measures for Performance Evaluation. Rev. Finan. Stud. 22, 2571-2606(2009), |
[11] |
Cherny, A:Markets as a Counterparty:An Introduction to Conic Finance. Int. J. Theor. Appl. Finan. 13, 1149-1177 (2010), |
[12] |
Choquet, G:Theory of Capacities. Ann. de l'Institut Fourier. 5, 131-295 (1953), |
[13] |
Eberlein, E, Madan, DB:Hedge Fund Performance:Sources and Measures. Int. J. Theor. Appl. Finan. 12, 267-282 (2009), |
[14] |
Elliott, RJ, Chan, L, Siu, TK:Option Pricing and Esscher transform under regime switching. Ann. Finan. 4, 423-432 (2005), |
[15] |
Elliott, RJ, Osakwe, CJU:Option pricing for pure jump processes with Markov switching compensators. Finan. Stochast, 10 (2006). https://doi.org/10.1007/s00780-006-0004-6, |
[16] |
Epps, TW:Comovements in Stock Prices in the Very Short Run. J. Am. Stat. Assoc. 74, 291-298 (1979), |
[17] |
Fasshauer, G, McCourt, M:Kernel Based Approximation Methods using Matlab. World Scientific, Singapore (2015), |
[18] |
Kallsen, J, Tankov, P:Characterization of dependence of multidimensional Lévy processes using Lévy copulas. J. Multivar. Anal. 97, 1551-1572 (2006), |
[19] |
Gerber, HU, Shiu, ESW:Option Pricing By Esscher Transforms. Trans. Soc. Actuaries. 46, 99-191 (1994), |
[20] |
Khintchine, AY:Limit laws of sums of independent random variables. ONTI, Moscow, Russian (1938), |
[21] |
Küchler, U, Tappe, S:Bilateral Gamma Distributions and Processes in Financial Mathematics. Stoch. Process. Appl. 118, 261-283 (2008), |
[22] |
Luciano, E, Semeraro, P:Multivariate Time Changes for Lévy asset models:Characterization and Calibration. J. Comput. Appl. Math. 233, 1937-1953 (2010), |
[23] |
Lévy, P:Théorie de l'Addition des Variables Aléatoires. Gauthier-Villars, Paris (1937), |
[24] |
Madan, DB:A two price theory of financial equilibrium with risk management implications. Ann. Finan. 8, 489-505 (2012), |
[25] |
Madan, DB:Asset Pricing Theory for Two Price Economies. Ann. Finan. 11, 1-35 (2015), |
[26] |
Madan, DB:Conic Portfolio Theor. Int. J. Theor. Appl. Finan. 19 (2016). available at https://doi.org/10.1142/S0219024916500199, |
[27] |
Madan, DB:Instantaneous Portfolio Theory (2017b). available at https://ssrn.com/abstract=2804718, |
[28] |
Madan, DB:Efficient estimation of expected stock returns. Finan. Res. Lett (2017c). available at https://doi.org/10.1016/j.frl.2017.08.001, |
[29] |
Madan, D, Carr, P, Chang, E:The variance gamma process and option pricing. Rev. Finan. 2, 79-105(1998), |
[30] |
Madan, DB, Pistorius, M, Stadje, M:On Dynamic Spectral Risk Measures and a Limit Theorem. Finan. Stochast. 21, 1073-1102 (2017). https://doi.org/10.1007/s00780-017-0339-1, |
[31] |
Madan, DB, Schoutens, W:Conic Asset Pricing and the Costs of Price Fluctuations (2017). available at https://ssrn.com/abstract=2921365, |
[32] |
Madan, DB, Schoutens, W:Applied Conic Finance, Cambridge University Press. UK, Cambridge (2016), |
[33] |
Madan, D, Seneta, E:The variance gamma (VG) model for share market returns. J. Bus. 63, 511-524(1990), |
[34] |
Madan, DB, Wang, K:Asymmetries in Financial Markets. forthcoming Int. J. Financ. Eng (2017). available at https://ssrn.com/abstract=2942990, |
[35] |
Madan, DB, Schoutens W, Wang, K:Measuring and Monitoring the Efficiency of Markets (2017). available at https://ssrn.com/abstract=2989801, |
[36] |
Naik, V, Lee, M:General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns. Rev. Financ. Stud. 3, 493-521 (1990), |
[37] |
Sato, K:Lévy processes and Infinitely Divisible Distributions. Cambridge University Press, Cambridge(1999), |
[38] |
Wang, S:A Class of Distortion Operators for Pricing Financial and Insurance Risks. J. Risk Insur. 67, 15-36 (2000), |
show all references
References:
[1] |
Akaike, H:Information theory and an extension of the maximum likelihood principle. In:Petrov, BN, Csáki, F (eds.) 2nd International Symposium on Information Theory, Tsahkasdor, Armenia, USSR, September 2-8, 1971, pp. 267-281. Akadémiai Kiadó, Budapest (1973), |
[2] |
Andersen, TW, Darling, DA:Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes. Ann. Math. Stat. 23, 193-212 (1952). https://doi.org/10.1214/aoms/1177729437, |
[3] |
Barndorff-Nielsen, OE, Shephard, N:Econometric Analysis of Realized Covariation:High Frequency Based Covariance, Regression and Correlation. Econometrica. 72, 885-925 (2004), |
[4] |
Bass, RF:Uniqueness in law for Pure Jump Markov Processes. Probab. Theory. 79, 271-287 (1988), |
[5] |
Bonanno, G, Lillo, F, Mantegna, RN:High-frequency Cross-correlation in a Set of Stocks. Quant. Finan. 1, 96-104 (2001), |
[6] |
Buchmann, B, Madan, DB, Lu, K:Weak Subordination of Multivariate Lavy Processes. Research School of Finance, Actuarial Studies and Statistics, Australian National University, Canberra (2016), |
[7] |
Carr, P, Geman, H, Madan, D, Yor, M:The Fine Structure of Asset Returns:An Empirical Investigation. J. Bus. 75, 305-332 (2002), |
[8] |
Carr, P, Madan, DB:Joint Modeling of VIX and SPX options at a single and common maturity with risk management applications. IIE Trans. 46, 1125-1131 (2014), |
[9] |
Carr, P, Wu, L:Time-Changes Lévy processes and option pricing. J. Finan. Econ. 71, 113-141 (2004), |
[10] |
Cherny, A, Madan, DB:New Measures for Performance Evaluation. Rev. Finan. Stud. 22, 2571-2606(2009), |
[11] |
Cherny, A:Markets as a Counterparty:An Introduction to Conic Finance. Int. J. Theor. Appl. Finan. 13, 1149-1177 (2010), |
[12] |
Choquet, G:Theory of Capacities. Ann. de l'Institut Fourier. 5, 131-295 (1953), |
[13] |
Eberlein, E, Madan, DB:Hedge Fund Performance:Sources and Measures. Int. J. Theor. Appl. Finan. 12, 267-282 (2009), |
[14] |
Elliott, RJ, Chan, L, Siu, TK:Option Pricing and Esscher transform under regime switching. Ann. Finan. 4, 423-432 (2005), |
[15] |
Elliott, RJ, Osakwe, CJU:Option pricing for pure jump processes with Markov switching compensators. Finan. Stochast, 10 (2006). https://doi.org/10.1007/s00780-006-0004-6, |
[16] |
Epps, TW:Comovements in Stock Prices in the Very Short Run. J. Am. Stat. Assoc. 74, 291-298 (1979), |
[17] |
Fasshauer, G, McCourt, M:Kernel Based Approximation Methods using Matlab. World Scientific, Singapore (2015), |
[18] |
Kallsen, J, Tankov, P:Characterization of dependence of multidimensional Lévy processes using Lévy copulas. J. Multivar. Anal. 97, 1551-1572 (2006), |
[19] |
Gerber, HU, Shiu, ESW:Option Pricing By Esscher Transforms. Trans. Soc. Actuaries. 46, 99-191 (1994), |
[20] |
Khintchine, AY:Limit laws of sums of independent random variables. ONTI, Moscow, Russian (1938), |
[21] |
Küchler, U, Tappe, S:Bilateral Gamma Distributions and Processes in Financial Mathematics. Stoch. Process. Appl. 118, 261-283 (2008), |
[22] |
Luciano, E, Semeraro, P:Multivariate Time Changes for Lévy asset models:Characterization and Calibration. J. Comput. Appl. Math. 233, 1937-1953 (2010), |
[23] |
Lévy, P:Théorie de l'Addition des Variables Aléatoires. Gauthier-Villars, Paris (1937), |
[24] |
Madan, DB:A two price theory of financial equilibrium with risk management implications. Ann. Finan. 8, 489-505 (2012), |
[25] |
Madan, DB:Asset Pricing Theory for Two Price Economies. Ann. Finan. 11, 1-35 (2015), |
[26] |
Madan, DB:Conic Portfolio Theor. Int. J. Theor. Appl. Finan. 19 (2016). available at https://doi.org/10.1142/S0219024916500199, |
[27] |
Madan, DB:Instantaneous Portfolio Theory (2017b). available at https://ssrn.com/abstract=2804718, |
[28] |
Madan, DB:Efficient estimation of expected stock returns. Finan. Res. Lett (2017c). available at https://doi.org/10.1016/j.frl.2017.08.001, |
[29] |
Madan, D, Carr, P, Chang, E:The variance gamma process and option pricing. Rev. Finan. 2, 79-105(1998), |
[30] |
Madan, DB, Pistorius, M, Stadje, M:On Dynamic Spectral Risk Measures and a Limit Theorem. Finan. Stochast. 21, 1073-1102 (2017). https://doi.org/10.1007/s00780-017-0339-1, |
[31] |
Madan, DB, Schoutens, W:Conic Asset Pricing and the Costs of Price Fluctuations (2017). available at https://ssrn.com/abstract=2921365, |
[32] |
Madan, DB, Schoutens, W:Applied Conic Finance, Cambridge University Press. UK, Cambridge (2016), |
[33] |
Madan, D, Seneta, E:The variance gamma (VG) model for share market returns. J. Bus. 63, 511-524(1990), |
[34] |
Madan, DB, Wang, K:Asymmetries in Financial Markets. forthcoming Int. J. Financ. Eng (2017). available at https://ssrn.com/abstract=2942990, |
[35] |
Madan, DB, Schoutens W, Wang, K:Measuring and Monitoring the Efficiency of Markets (2017). available at https://ssrn.com/abstract=2989801, |
[36] |
Naik, V, Lee, M:General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns. Rev. Financ. Stud. 3, 493-521 (1990), |
[37] |
Sato, K:Lévy processes and Infinitely Divisible Distributions. Cambridge University Press, Cambridge(1999), |
[38] |
Wang, S:A Class of Distortion Operators for Pricing Financial and Insurance Risks. J. Risk Insur. 67, 15-36 (2000), |
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