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

Pablo Olivares | Zendy; Alexánder Álvarez | Zendy

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

Author(s) -

Pablo Olivares,

Alexánder Álvarez

Publication year - 2004

Publication title -

revista de matemática teoría y aplicaciones

Language(s) - English

Resource type - Journals

eISSN - 2215-3373

pISSN - 1409-2433

DOI - 10.15517/rmta.v11i1.239

Subject(s) - econometrics , futures contract , volatility (finance) , gaussian , stochastic volatility , gaussian network model , currency , economics , financial economics , computer science , finance , mathematics , macroeconomics , physics , quantum mechanics

In 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.

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