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dc.contributor.authorDavies, Laurie-
dc.contributor.authorKrämer, Walter-
dc.date.accessioned2015-12-21T10:11:07Z-
dc.date.available2015-12-21T10:11:07Z-
dc.date.issued2015-
dc.identifier.urihttp://hdl.handle.net/2003/34433-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-16489-
dc.description.abstractWe 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.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;48/2015en
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleStylized facts and simulating long range financial dataen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
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