Sökning: "Autoregressive gamma variance Gaussian mixture model"
Hittade 1 uppsats innehållade orden Autoregressive gamma variance Gaussian mixture model.
1. A simple model of volatility in financial data - An alternative to GARCH models
Magister-uppsats, Lunds universitet/Statistiska institutionenSammanfattning : Financial return series are often characterized by volatility clusters and a leptokurtic distribution. Many models that account for these properties exist, with the GARCH model proposed by Bollerslev (1986) being the most popular. This thesis explores an alternative model to capture the stochastic volatility in financial time series. LÄS MER
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