Ilia Negri
Author's titles
COGARCH models: a statistical application
digital

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...
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