Autoregressive processes with exponentially decaying probability distribution functions: Applications to daily variations of a stock market index

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 65, Issue 4, 2002, Pages

  Porto, Markus ^a   Roman, H Eduardo ^b  

^a MAX PLANCK INSTITUT FÜR PHYSIK KOMPLEXER SYSTEME   (Germany)

^b UNIVERSITY OF MILAN   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; ITERATIVE METHODS; MARKOV PROCESSES; MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; REGRESSION ANALYSIS;

AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY (ARCH); EXPONENTIAL DECAY; GAUSSIAN DISTRIBUTION (GD); RANDOM VARIABLES;

PROBABILITY DISTRIBUTIONS;

EID: 45849154846     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.65.046149     Document Type: Article

References (40)

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