Wpływ wartości ekstremalnych na zmienność stochastyczną

• Authors: Justyna Majewska

Title variants

EN

The Impact of Extreme Observations on Stochastic Volatility

• Languages of publication: PL

Abstracts

EN

This article takes up validity of the use (on the Polish capital market) of stochastic models which take into account extreme observations. In the comparative analysis aside from the SV been considered models whose structure can better describe the appearance of extreme observations.

Keywords

PL

Estymacja; Model Blacka-Scholesa; Modele stochastyczne; Procesy zmienności stochastycznej

EN

Black-Scholes model; Estimation; Stochastic models; Stochastic Volatility Processes

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 162
• Pages: 131-143

Contributors

author

Justyna Majewska

References

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Identifiers

ISSN

2083-8611