scholarly journals Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index

2010 ◽  
Author(s):  
Katja Ignatieva ◽  
Eckhard Platen ◽  
Renatak Rendek
Keyword(s):  
Stock Index ◽  
World Stock Index

MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX

2004 ◽  
Vol 07 (04) ◽  
pp. 511-529 ◽  
Author(s):  
ECKHARD PLATEN
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Expected Value ◽  
Quadratic Variation ◽  
Stock Index ◽  
Square Root ◽  
Growth Optimal Portfolio ◽  
World Stock Index ◽  
Diversified World Stock Index

This paper considers a diversified world stock index in a continuous financial market with the growth optimal portfolio (GOP) as reference unit or benchmark. Diversified broadly based indices and portfolios, which include major world stock market indices, are shown to approximate the GOP. It is demonstrated that a key financial quantity is the trend of a world index. It turns out that it can be directly observed since the expected increments of the index equal four times those of the quadratic variation of its square root. Using a world stock index as approximation of the discounted GOP it is shown that, in reality, the trend of the discounted GOP does not vary greatly in the long term. This leads for a diversified world index to a natural model, where the index is a transformed square root process of dimension four. The squared index volatility appears then as the inverse of the square root process. This feature explains most of the properties of an index and its volatility.

scholarly journals Empirical behavior of a world stock index from intra-day to monthly time scales

2009 ◽  
Vol 71 (4) ◽  
pp. 511-522 ◽  
Author(s):  
W. Breymann ◽  
D. R. Lüthi ◽  
E. Platen
Keyword(s):  
Time Scales ◽  
Stock Index ◽  
World Stock Index
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