Stochastic autoregressive volatility model for exchange rates
A discrete time model for asset price changes is considered. The volatility process underlying these changes is modeled as a first-order Gaussian autoregressive series. Inversion of the marginal characteristic function of the return process simplifies the assessment of the tail behaviour of the prob...
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| Hlavní autoři: | , , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Prince of Songkla University
2008-10-01
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| Edice: | Songklanakarin Journal of Science and Technology (SJST) |
| Témata: | |
| On-line přístup: | http://www.rdoapp.psu.ac.th/sjst/ejournal/journal/30-6/0125-3395-30-6-799-804.pdf |
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