𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Stable GARCH models for financial time series

✍ Scribed by A.K. Panorska; S. Mittnik; S.T. Rachev

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
275 KB
Volume
8
Category
Article
ISSN
0893-9659

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Modeling stylized facts for financial ti
Modeling stylized facts for financial time series
✍ M.I. Krivoruchenko; E. Alessio; V. Frappietro; L.J. Streckert πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 173 KB

Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an approximate scaling and heavy tails of the return distribution

A fractal forecasting model for financia
A fractal forecasting model for financial time series
✍ Gordon R. Richards πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 149 KB πŸ‘ 1 views

## Abstract Financial market time series exhibit high degrees of non‐linear variability, and frequently have fractal properties. When the fractal dimension of a time series is non‐integer, this is associated with two features: (1) inhomogeneityβ€”extreme fluctuations at irregular intervals, and (2) s