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]
Authors:	Yoon, Gawon
Publisher:	[2003]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Other identifiers:	10.2139/ssrn.376380 [DOI]
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012740078