Browsing Faculty of Science & Technology (FST) by Author "Ivivi, Joseph M"
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Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market.
Ivivi, Joseph M (University of Nairobi, 2015)This article seeks to model daily asset returns using log-ARCH-Lévy type model which is expected to reproduce most of the stylized features of financial time series data (such as volatility clustering, leptokurtic nature ...