Title :
Fitting Convolutions of Exponential Distributions to Daily Realized Volatility Data
Author_Institution :
Dept. of Math., Shanghai Maritime Univ., Shanghai, China
Abstract :
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 exponential 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.
Keywords :
convolution; exponential distribution; queueing theory; random processes; stochastic processes; SSE composite index; daily realized volatility data; exponential distribution; exponential random variables; fitting convolution; probability density function; queuing network; stochastic process; stochastic volatility model; Computer networks; Distributed computing; Electronic mail; Exponential distribution; Frequency; Mathematics; Microstructure; Probability density function; Random variables; Stochastic processes; O-U process; convolution; exponential distribution; realized volatility;
Conference_Titel :
Information and Computing (ICIC), 2010 Third International Conference on
Conference_Location :
Wuxi, Jiang Su
Print_ISBN :
978-1-4244-7081-5
Electronic_ISBN :
978-1-4244-7082-2
DOI :
10.1109/ICIC.2010.299
