کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9728009 | 1480215 | 2005 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Financial volatility and independent and identically distributed variables
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior of such series be explained? Here we put forward a possible explanation to add the existing ones. We focus on a class of reduced variables that are independent and identically distributed. These variables together with an extra exponential law are able to explain the volatility of the intraday Brazilian real-US dollar exchange rate for the year 2002.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 346, Issues 3â4, 15 February 2005, Pages 484-498
Journal: Physica A: Statistical Mechanics and its Applications - Volume 346, Issues 3â4, 15 February 2005, Pages 484-498
نویسندگان
Annibal Figueiredo, Iram Gleria, Raul Matsushita, Sergio Da Silva,