Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Davies, Laurie | - |
dc.contributor.author | Krämer, Walter | - |
dc.date.accessioned | 2015-12-21T10:11:07Z | - |
dc.date.available | 2015-12-21T10:11:07Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2003/34433 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-16489 | - |
dc.description.abstract | We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance are truthfully mirrored in the simulated data. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;48/2015 | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Stylized facts and simulating long range financial data | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_4815_SFB823_Davies_Krämer.pdf | DNB | 1.55 MB | Adobe PDF | View/Open |
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This item is protected by original copyright
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