Stylized Facts and Simulating Long Range Financial Data

Laurie Davies and Walter Kr\"amer
Authors registered in the RePEc Author Service: Walter Krämer

Papers from arXiv.org

Abstract: We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance are truthfully mirrored in the simulated data.

Date: 2016-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/1612.05229 Latest version (application/pdf)

Related works:
Working Paper: Stylized Facts and Simulating Long Range Financial Data (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1612.05229

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().