Fitting convolutions of exponential distributions to daily realized volatility data
Convolutions of exponential distributions have widely used in stochastic process and queuing network. In this paper, the closed-form of the probability density function of the sum of eiponential random variables is obtained. And we fit convolutions of exponential distributions to the daily realized volatility data of the SSE Composite Index. Further, some proposals to model the log of the asset price by stochastic volatility models are given.
convolution exponential distribution realized volatility O-Uprocess
Shibin ZHANG
Department of Mathematics Shanghai Maritime University Shanghai 201306,China
国际会议
Third International Conference on Information and Computing(第三届信息与计算科学国际会议 ICIC 2010)
无锡
英文
113-116
2010-06-04（万方平台首次上网日期，不代表论文的发表时间）