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Fitting non-gaussian Models to Financial data: An Empirical Study

dc.creatorOlivares, Pablo
dc.creatorÁlvarez, Alexánder
dc.date.accessioned2015-05-19T18:38:47Z
dc.date.available2015-05-19T18:38:47Z
dc.date.issued2011-04-29 00:00:00
dc.identifier.citationhttp://revistas.ucr.ac.cr/index.php/matematica/article/view/239
dc.identifier.issn
dc.identifier.urihttp://hdl.handle.net/10669/12883
dc.description.abstractIn this paper are presented some experiences about the modeling of financial data by three classes of models as alternative to Gaussian Linear models. Dynamic Volatility, Stable L'evy and Diffusion with Jumps models are considered. The techniques are illustrated with some examples of financial series on currency, futures and indexes.
dc.description.abstractEn el trabajo se presentan algunas experiencias en la modelación de datos financieros usando tres clases de modelos alternativos a los modelos Gaussianos lineales. Se consoderan modelos con volatilidad dinámica, estables de Lévy y difusiones con Saltos. Las técnicas son ilustradas con ejemplos de series financieras de tasas de cambio, futuros e índices
dc.format.extent81-93
dc.relation.ispartofRevista de Matemática: Teoría y Aplicaciones Vol. 11 Núm. 1 2011
dc.titleFitting non-gaussian Models to Financial data: An Empirical Study
dc.titleFitting non-gaussian Models to Financial data: An Empirical Study
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.date.updated2015-05-19T18:38:48Z
dc.language.rfc3066es
dc.identifier.doi10.15517/rmta.v11i1.239


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