Publication:4450671
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zbMath1034.62107MaRDI QIDQ4450671
Publication date: 15 February 2004
Monte Carlo methods; kurtosis; skewness; volatility; aggregate returns; square root of time rule; heteroskedastic models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
65C05: Monte Carlo methods
91B84: Economic time series analysis
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