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Stochastic GARCH dynamics describing correlations between stocks
journal contributionposted on 2015-08-19, 15:36 authored by G. Prat-Ortega, Sergey SavelievSergey Saveliev
The ARCH and GARCH processes have been successfully used for modelling price dynamics such as stock returns or foreign exchange rates. Analysing the long range correlations between stocks, we propose a model, based on the GARCH process, which is able to describe the main characteristics of the stock price correlations, including the mean, variance, probability density distribution and the noise spectrum.
The second author acknowledges support from the Leverhulme foundation.
Published inPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Pages623 - 627 (5)
CitationPRAT-ORTEGA, G. and SAVEL'EV, S., 2014. Stochastic GARCH dynamics describing correlations between stocks. Physica A - Statistical Mechanics and Its Applications, 410, pp. 623 - 627.
Publisher© Elsevier B.V.
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Publisher statementThis work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/
NotesThis article is closed access.