Fitting Convolutions of Exponential Distributions to Daily Realized Volatility Data

Author

Zhang, Shibin

Author_Institution

Dept. of Math., Shanghai Maritime Univ., Shanghai, China

Volume

4

fYear

2010

fDate

4-6 June 2010

Firstpage

113

Lastpage

116

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;

fLanguage

English

Publisher

ieee

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

Type

conf

DOI

10.1109/ICIC.2010.299

Filename

5514031