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Modeling of financial data: Comparison of the truncated L\'evy flight and the ARCH(1) and GARCH(1,1) processes

Physica A: Statistical and Theoretical Physics, 254(1-2): 77--84, 1998.
Authors: Rosario N. Mantegna and H. Eugene Stanley
URL: http://www.sciencedirect.com/science/article/B6TVG-3VGPMGX-2R/1/3ef20bf7cfc5c6029692b79887b2af17
Description: Physica A
Tags: imported
| URL | BibTeX  
@article{Mantegna1998,
title = {Modeling of financial data: Comparison of the truncated L{\'e}vy flight and the ARCH(1) and GARCH(1,1) processes},
author = {Rosario N. Mantegna and H. Eugene Stanley},
day = {15},
journal = {Physica A: Statistical and Theoretical Physics},
month = {May},
number = {1-2},
pages = {77--84},
url = {http://www.sciencedirect.com/science/article/B6TVG-3VGPMGX-2R/1/3ef20bf7cfc5c6029692b79887b2af17},
volume = {254},
year = {1998},
description = {Physica A},
keywords = {imported }
}