Enrico Bibbona
Libri dell'autore
COGARCH models: a statistical application
digital

format:
Article
| STATISTICA & APPLICAZIONI - 2017 - 2


Year:
2017
One of the reason that suggests to use COGARCH models to fit financial log-return data is due to the fact that they are able to capture the so called stylized facts observed in real data: uncorrelated log-returns but correlated absolute log-return, time varying volatility, conditional heteroscedasticity, cluster in volatility, heavy tailed and asymmetric unconditional distributions, leverage effects...