STEEL PRICE MODELLING WITH LEVY PROCESS
The aim of this study is tomodelsteelprice returns by Lévyprocess.The dailyLMESteelBillets Spot Pricesbetween 04.01. 2010and 31.10.2011are analyzedand AR[1]~GARCH[1,1] discrete model is foundto be the best candidate takingall indicators into account. Then the continuous analogue of the discrete mode...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Social Sciences Research Society
2012-07-01
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| Series: | International Journal of Economics and Finance Studies |
| Online Access: | http://www.sobiad.org/eJOURNALS/journal_IJEF/archieves/2012_2/emre_kahraman.pdf |