Authors: | Davies, Laurie Krämer, Walter |
Title: | Stylized facts and simulating long range financial data |
Language (ISO): | en |
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. |
URI: | http://hdl.handle.net/2003/34433 http://dx.doi.org/10.17877/DE290R-16489 |
Issue Date: | 2015 |
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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