16 citations · 34 across the 4 of their papers we have counts for
4 papers
Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect
Johannes Vitalis Siven, Jeffrey Todd Lins
Previous research has shown that for stock indices, the most likely time until a return of a particular size has been observed is longer for gains than for losses. We establish tha…
Temporal structure and gain/loss asymmetry for real and artificial stock indices
Johannes Vitalis Siven, Jeffrey Todd Lins
We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that a…
A multiscale view on inverse statistics and gain/loss asymmetry in financial time series
Johannes Vitalis Siven, Jeffrey Todd Lins, Jonas Lundbek Hansen
Researchers have studied the first passage time of financial time series and observed that the smallest time interval needed for a stock index to move a given distance is typically…
Value-at-Risk Computation by Fourier Inversion with Explicit Error Bounds
Johannes Vitalis Siven, Jeffrey Todd Lins, Anna Szymkowiak-Have
The value-at-risk of a delta-gamma approximated derivatives portfolio can be computed by numerical integration of the characteristic function. However, while the choice of paramete…