| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481306 | Physica A: Statistical Mechanics and its Applications | 2013 | 11 Pages |
Abstract
⺠We present a new technique for modelling time-varying volatility. ⺠Unlike many existing methods this method does not assume financial returns are Gaussian. ⺠Our method is used to study several stock indexes and gives good performance.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Gordon J. Ross,