Fitting non-gaussian Models to Financial data: An Empirical Study
In this paper are presented some experiences about the modeling of financial data by three classes of models as alternative to Gaussian Linear models. Dynamic Volatility, Stable L'evy and Diffusion with Jumps models are considered. The techniques are illustrated with some examples of financial...
| Main Authors: | Olivares, Pablo, Álvarez, Alexánder |
|---|---|
| Format: | Artículo |
| Language: | Español |
| Published: |
2015
|
| Online Access: |
http://revistas.ucr.ac.cr/index.php/matematica/article/view/239 http://hdl.handle.net/10669/12883 |
| Summary: |
In this paper are presented some experiences about the modeling of financial data by three classes of models as alternative to Gaussian Linear models. Dynamic Volatility, Stable L'evy and Diffusion with Jumps models are considered. The techniques are illustrated with some examples of financial series on currency, futures and indexes. |
|---|