Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different...
