Fitting non-gaussian Models to Financial data: An Empirical Study
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| Autores: | , |
|---|---|
| 格式: | artículo original |
| 狀態: | Versión publicada |
| Fecha de Publicación: | 2004 |
| 實物特徵: | 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. |
| País: | Portal de Revistas UCR |
| 機構: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| 語言: | Español |
| OAI Identifier: | oai:archivo.portal.ucr.ac.cr:article/239 |
| 在線閱讀: | https://archivo.revistas.ucr.ac.cr/index.php/matematica/article/view/239 |
| Palabra clave: | Dynamic Volatility Stable Processes Diffusions with Jumps Likelihood Volatilidad Dinámica Procesos Estables Difusiones con Saltos Verosimilitud |