2005/06/08 by Andrei Leonidov, Leonidov, Andrei, Vladimir Trainin +3 · 1 citation
Economics, Econometrics and Finance · Computer Science · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Time Series Analysis and Forecasting
paper · pdf · doi:10.48550/arxiv.physics/0506072
The analysis of observed conditional distributions of both lagged and simultaneous intraday price increments of a basket of stocks reveals phenomena of dependence - induced volatility smile and kurtosis reduction. A model based on multivariate t-Student distribution shows that the observed effects are caused by colelctive non-gaussian dependence properties of financial time series.