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.
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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