Essays about: "Alexandra Milton"

Found 1 essay containing the words Alexandra Milton.

  1. 1. A simple model of volatility in financial data - An alternative to GARCH models

    University essay from Lunds universitet/Statistiska institutionen

    Author : Alexandra Milton; Marcus Svensson; [2019]
    Keywords : Volatility; Financial time series; Autoregressive gamma process; Generalized Laplace distribution; Autoregressive gamma variance Gaussian mixture model; Mathematics and Statistics;

    Abstract : Financial return series are often characterized by volatility clusters and a leptokurtic distribution. Many models that account for these properties exist, with the GARCH model proposed by Bollerslev (1986) being the most popular. This thesis explores an alternative model to capture the stochastic volatility in financial time series. READ MORE