|Title:||Stylized facts and simulating long range financial data|
|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.|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
Files in This Item:
|DP_4815_SFB823_Davies_Krämer.pdf||DNB||1.55 MB||Adobe PDF||View/Open|
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