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Dokumenttyp:
Masterarbeit
Autor(en):
German Straub
Titel:
A Fractionally Integrated COGARCH(1,1) Model
Abstract:
When modelling financial time series, the main difficulty consists in finding a model that captures the so-called stylized facts. These are statistical regularities, such as lep- tocurticity, volatility clustering or strong autocorrelations for absolute and squared re- turns, which are common to most financial series. The most popular way to take such characteristics into account is formed by models of generalized autoregressive conditional heteroscedasticity (GARCH). These models, however,...     »
Aufgabensteller:
Claudia Klüppelberg
Betreuer:
Stephan Haug
Gutachter:
Claudia Klüppelberg
Jahr:
2014
Quartal:
2. Quartal
Monat:
Jun
Sprache:
de
Sprache der Übersetzung:
de
Hochschule / Universität:
TU München
Fakultät:
Fakultät für Mathematik
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX