Temporal aggregation of equity return time-series models

DOI10.1016/j.matcom.2008.01.010zbMath1152.91722OpenAlexW2101163356MaRDI QIDQ929677

K. H. Wu, Wai Sum Chan, Siu Hung Cheung, Zhang, Lixin

Publication date: 18 June 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.010

zbMATH Keywords

GARCH modelcalibration pointsequity-linked guaranteeslog-stable distributionS\&P 500 total returns

Mathematics Subject Classification ID

Cites Work

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