Fitting non-gaussian Models to Financial data: An Empirical Study
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| Συγγραφείς: | , |
|---|---|
| Μορφή: | artículo original |
| Κατάσταση: | Versión publicada |
| Ημερομηνία έκδοσης: | 2004 |
| Περιγραφή: | 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. |
| Χώρα: | Portal de Revistas UCR |
| Ίδρυμα: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| Γλώσσα: | Español |
| OAI Identifier: | oai:archivo.portal.ucr.ac.cr:article/239 |
| Διαθέσιμο Online: | https://archivo.revistas.ucr.ac.cr/index.php/matematica/article/view/239 |
| Λέξη-Κλειδί : | Dynamic Volatility Stable Processes Diffusions with Jumps Likelihood Volatilidad Dinámica Procesos Estables Difusiones con Saltos Verosimilitud |