𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Thinning operations for modeling time series of

✍ Scribed by Christian H. Weiß

Book ID
106292723
Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
489 KB
Volume
92
Category
Article
ISSN
1863-8171

No coin nor oath required. For personal study only.

📜 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 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 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