کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
978951 933312 2010 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A contribution to the systematics of stochastic volatility models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
A contribution to the systematics of stochastic volatility models
چکیده انگلیسی
We systematically compare several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution has generically a stretched-exponential form, but can also assume an algebraic decay, in the family of models which we call “GARCH” type. The intermediate regime is found in the exponential Ornstein-Uhlenbeck process. We also calculate the decay of the autocorrelation function of volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 16, 15 August 2010, Pages 3230-3239
نویسندگان
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