Vicente, Renato; Toledo, Charles M. de; Leite, Vitor B.P.; … - In: Physica A: Statistical Mechanics and its Applications 361 (2006) 1, pp. 272-288
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless...
