This paper uses the Singapore and the Thailand’s stock prices of material from January 4, 2000 to July 20, 2007, discussing the model construction and their associations of between Singapore and Thailand’s stock markets, and also uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Singapore and the Thailand’s stock markets may c...

there are several researches that deal with the behavior of ses and their relationships with different economical factors. these range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. this article considers the impact of oil and gold price on tehran stock exchange market (tse). oil and gold are two factors that are essential for the ...

A market is considered whose index has strongly price-dependent local volatility. A tractable parametrization of the volatility is formulated, and option valuation of a stock with two-factor dynamics is investigated. One factor is the market index; when the second factor is uncorrelated with the rst, the option valuation equation can separate. A formal solution is given for a European call. The...

The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with default: firstly by adding a stochastic volatility diffusion uncorrelated from the stock price process, then by more generally time changing Bessel processes and finally by correlating stochastic volatility moves to the ...

The long-run risks model of asset prices explains stock price variation as a response to persistent ‡uctuations in the mean and volatility of consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents that the model fails to …t aggregate asset prices in several important ways. The model implies that long-run consumption growth should...

This paper develops a novel class of hybrid credit-equity models with state-dependent jumps, local-stochastic volatility and default intensity based on time changes of Markov processes with killing. We model the defaultable stock price process as a time changed Markov diffusion process with state-dependent local volatility and killing rate (default intensity). When the time change is a Lévy sub...

We study the impact of foreign institutional investor (FII) flows on stock returns in India. We exploit stock-level daily trading data for FII purchases and FII sales during 2006-2011 to separate stocks into those experiencing abnormally high and low FII flow innovations. We find that stocks with high innovations are associated with a coincident price increase that is permanent, whereas stocks ...