Langevin modelling of high-frequency Hang-Seng index data

DOI10.1016/S0378-4371(03)00034-7zbMath1072.91629OpenAlexW2088663704WikidataQ108388598 ScholiaQ108388598MaRDI QIDQ1873973

Lei-Han Tang

Publication date: 21 May 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00034-7

zbMATH Keywords

probability distributionfinancial time seriesvariable noise amplitude

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Characterization of stationary distributions using conditional expectations

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