A simple model that generates stylized facts of returns

This note shows that a very simple model can generate returns that resemble most of the temporal and distributional behavior of long returns surprisingly well. The model is based on the stochastic unit root process introduced in Granger and Swanson (1997).

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Year of publication:	2003-01-01
Authors:	Yoon, Gawon
Institutions:	Department of Economics, University of California-San Diego (UCSD)
Subject:	long returns \| long memory \| GARCH \| stochastic unit root

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Extent:	application/pdf
Series:	University of California at San Diego, Economics Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Department of Economics, UCSD
Source:	RePEc - Research Papers in Economics

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