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...

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Main Authors: Olivares, Pablo, Álvarez, Alexánder
Format: artículo científico
Language: Español
Published: 2015
Online Access: http://revistas.ucr.ac.cr/index.php/matematica/article/view/239
http://hdl.handle.net/10669/12883
id RepoKERWA12883
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spelling RepoKERWA128832021-05-02T23:20:38Z Fitting non-gaussian Models to Financial data: An Empirical Study Fitting non-gaussian Models to Financial data: An Empirical Study Olivares, Pablo Álvarez, Alexánder 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. En el trabajo se presentan algunas experiencias en la modelación de datos financieros usando tres clases de modelos alternativos a los modelos Gaussianos lineales. Se consoderan modelos con volatilidad dinámica, estables de Lévy y difusiones con Saltos. Las técnicas son ilustradas con ejemplos de series financieras de tasas de cambio, futuros e índices 2015-05-19T18:38:47Z 2015-05-19T18:38:47Z 2011-04-29 00:00:00 2015-05-19T18:38:48Z artículo científico http://revistas.ucr.ac.cr/index.php/matematica/article/view/239 http://hdl.handle.net/10669/12883 10.15517/rmta.v11i1.239 es Revista de Matemática: Teoría y Aplicaciones Vol. 11 Núm. 1 2011 81-93 application/pdf
institution Universidad de Costa Rica
collection Repositorio KERWA
language Español
description 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.
format artículo científico
author Olivares, Pablo
Álvarez, Alexánder
spellingShingle Olivares, Pablo
Álvarez, Alexánder
Fitting non-gaussian Models to Financial data: An Empirical Study
author_sort Olivares, Pablo
title Fitting non-gaussian Models to Financial data: An Empirical Study
title_short Fitting non-gaussian Models to Financial data: An Empirical Study
title_full Fitting non-gaussian Models to Financial data: An Empirical Study
title_fullStr Fitting non-gaussian Models to Financial data: An Empirical Study
title_full_unstemmed Fitting non-gaussian Models to Financial data: An Empirical Study
title_sort fitting non-gaussian models to financial data: an empirical study
publishDate 2015
url http://revistas.ucr.ac.cr/index.php/matematica/article/view/239
http://hdl.handle.net/10669/12883
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score 11.992185