Laurie Davies

University of Duisburg-Essen

Lotharstrasse 1

Duisburg, 47048

Germany

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Scholarly Papers (1)

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Stylized Facts and Simulating Long Range Financial Data

CESifo Working Paper Series No. 5796
Number of pages: 21 Posted: 13 Apr 2016
Laurie Davies and Walter Kraemer
University of Duisburg-Essen and University of Dortmund - Department of Statistics
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Abstract:

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long-range daily stock-price, stylized facts, GARCH modelling, empirical economics