| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481276 | Physica A: Statistical Mechanics and its Applications | 2013 | 7 Pages |
Abstract
⺠We combine the GARCH process with a conditional truncated Lévy distribution. ⺠We examine asset price changes, associated volatility and scaling behaviour. ⺠Data for the S&P 500 is fitted effectively across all aspects. ⺠A shift from using conditional Gaussian distributions is required in order to minimise risk.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
A. Constantinides, S.E. Savel'ev,