Estimating the distribution of volatility of realized stock returns and exchange rate changes

Physica A: Statistical Mechanics and its Applications

Volumn 352, Issue 2-4, 2005, Pages 573-583

  Linden, Mikael ^a  

^a UNIVERSITY OF EASTERN FINLAND   (Finland)

Author keywords

Laplace distribution; ML estimation; Stock return and exchange rate distributions; Volatility

Indexed keywords

LAPLACE DISTRIBUTION; ML-ESTIMATION; STOCK RETURN AND EXCHANGE RATE DISTRIBUTION; VOLTALITY;

FINANCE; HEURISTIC METHODS; INVENTORY CONTROL; LAPLACE TRANSFORMS; MARKETING; MATHEMATICAL MODELS; PARAMETER ESTIMATION; PROBABILITY DENSITY FUNCTION;

INDUSTRIAL ECONOMICS;

EID: 18144387279     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.12.024     Document Type: Article

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