Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes

Physica A: Statistical Mechanics and its Applications

Volumn 254, Issue 1-2, 1998, Pages 77-84

  Mantegna, Rosario N ^a   Stanley, H Eugene ^b  

^a UNIVERSITY OF PALERMO   (Italy)

^b Boston University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; DATA REDUCTION; MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES;

ARCH MODEL; GARCH MODEL; STOCK MARKET; TRUNCATED LEVY FLIGHT;

FINANCIAL DATA PROCESSING;

EID: 0032070111     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(98)00020-X     Document Type: Article

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