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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/18522

Title: Stochastic GARCH dynamics describing correlations between stocks
Authors: Prat-Ortega, G.
Savel'ev, Sergey
Keywords: GARCH
Price dynamics
Long-range correlations
Issue Date: 2014
Publisher: © Elsevier B.V.
Citation: PRAT-ORTEGA, G. and SAVEL'EV, S., 2014. Stochastic GARCH dynamics describing correlations between stocks. Physica A - Statistical Mechanics and Its Applications, 410, pp. 623 - 627.
Abstract: The ARCH and GARCH processes have been successfully used for modelling price dynamics such as stock returns or foreign exchange rates. Analysing the long range correlations between stocks, we propose a model, based on the GARCH process, which is able to describe the main characteristics of the stock price correlations, including the mean, variance, probability density distribution and the noise spectrum.
Description: This article is closed access.
Sponsor: The second author acknowledges support from the Leverhulme foundation.
Version: Published
DOI: 10.1016/j.physa.2014.05.047
URI: https://dspace.lboro.ac.uk/2134/18522
Publisher Link: http://dx.doi.org/10.1016/j.physa.2014.05.047
ISSN: 0378-4371
Appears in Collections:Closed Access (Physics)

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