Fitting non-gaussian Models to Financial data: An Empirical Study
محفوظ في:
| المؤلفون: | , |
|---|---|
| التنسيق: | artículo original |
| الحالة: | Versión publicada |
| تاريخ النشر: | 2004 |
| الوصف: | In this paper are presented some experiences about the modeling of financial data by three classes of models as alternative to Gaussian Linear models. Dynamic Volatility, Stable Lévy and Diffusion with Jumps models are considered. The techniques are illustrated with some examples of financial series on currency, futures and indexes. |
| البلد: | Portal de Revistas UCR |
| المؤسسة: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| اللغة: | Español |
| OAI Identifier: | oai:archivo.portal.ucr.ac.cr:article/239 |
| الوصول للمادة أونلاين: | https://archivo.revistas.ucr.ac.cr/index.php/matematica/article/view/239 |
| كلمة مفتاحية: | Dynamic Volatility Stable Processes Diffusions with Jumps Likelihood Volatilidad Dinámica Procesos Estables Difusiones con Saltos Verosimilitud |