Multivariate tempered stable model with long-range dependence and time-varying volatility
نویسندگان
چکیده
منابع مشابه
Multivariate tempered stable model with long-range dependence and time-varying volatility
High-frequency financial return time series data have stylized facts such as the long-range dependence, fat-tails, asymmetric dependence, and volatility clustering. In this paper, a multivariate model which describes those stylized facts is presented. To construct the model, a multivariate ARMA-GARCH model is considered along with fractional Lévy process. The fractional Lévy process in this pap...
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ژورنال
عنوان ژورنال: Frontiers in Applied Mathematics and Statistics
سال: 2015
ISSN: 2297-4687
DOI: 10.3389/fams.2015.00001