Recent developments in volatility modeling and applications
نویسندگان
چکیده
منابع مشابه
Recent developments in volatility modeling and applications
In financial modeling, it has been constantly pointed out that volatility clustering and conditional nonnormality induced leptokurtosis observed in high frequency data. Financial time series data are not adequately modeled by normal distribution, and empirical evidence on the non-normality assumption is well documented in the financial literature (details are illustrated by Engle (1982) and Bol...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Decision Sciences
سال: 2006
ISSN: 1173-9126,1532-7612
DOI: 10.1155/jamds/2006/86320