Non-stationarity in financial time series: Generic features and tail behavior
نویسندگان
چکیده
منابع مشابه
Financial Time Series and Their Features
Time series of prices as well as time series based on prices or time series which describe prices and their dynamism are called financial time series. These time series have some typical properties. There are two basic assumptions: normality and linearity of log returns of the financial time series. The distributions of log returns are usually skewed and more peaked that the normal distribution...
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ژورنال
عنوان ژورنال: EPL (Europhysics Letters)
سال: 2013
ISSN: 0295-5075,1286-4854
DOI: 10.1209/0295-5075/103/58003