Fitting non-gaussian Models to Financial data: An Empirical Study
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| Авторы: | , |
|---|---|
| Формат: | artículo original |
| Статус: | Versión publicada |
| Дата публикации: | 2004 |
| Описание: | 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. |
| Страна: | Portal de Revistas UCR |
| Институт: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| Язык: | Español |
| OAI Identifier: | oai:archivo.portal.ucr.ac.cr:article/239 |
| Online-ссылка: | https://archivo.revistas.ucr.ac.cr/index.php/matematica/article/view/239 |
| Ключевое слово: | Dynamic Volatility Stable Processes Diffusions with Jumps Likelihood Volatilidad Dinámica Procesos Estables Difusiones con Saltos Verosimilitud |