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Document type:
Masterarbeit
Author(s):
German Straub
Title:
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,...     »
Supervisor:
Claudia Klüppelberg
Advisor:
Stephan Haug
Referee:
Claudia Klüppelberg
Year:
2014
Quarter:
2. Quartal
Month:
Jun
Language:
de
Language from translation:
de
University:
TU München
Faculty:
Fakultät für Mathematik
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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