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scientific article; zbMATH DE number 2042816
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scientific article; zbMATH DE number 2042816

    Statements

    author
    Chi-ming Wong
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    Mike K. P. So
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    publication date
    15 February 2004
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    zbMATH Keywords
    aggregate returns
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    heteroskedastic models
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    kurtosis
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    Monte Carlo methods
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    skewness
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    square root of time rule
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    volatility
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    65C05
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    91B84
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    62M10
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    zbMATH DE Number
    2042816
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