Financial models with long-tailed distributions and volatility clustering
id:
financial-models-with-long-tailed-distributions-and-volatility-clustering-213-805300
title:
Financial models with long-tailed distributions and volatility clustering
text:
Financial models with long-tailed distributions and volatility clustering have been introduced to overcome problems with the realism of classical financial models. These classical models of financial time series typically assume homoskedasticity and normality and as such cannot explain stylized phenomena such as skewness, heavy tails, and volatility clustering of the empirical asset returns in finance. In 1963, Benoit Mandelbrot first used the stable distribution to model the empirical distribut
brand slug:
wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Financial_models_with_long-tailed_distributions_and_volatility_clustering
date created:
2008-07-15T08:44:25Z
date modified:
2024-09-12T08:52:04Z
main entity:
{"identifier":"Q5449732","url":"https://www.wikidata.org/entity/Q5449732"}
image:
fields total:
13
integrity:
14