3. Financial Market Data

  1. Bernhard Pfaff

Published Online: 30 OCT 2012

DOI: 10.1002/9781118477144.ch3

Financial Risk Modelling and Portfolio Optimization with R

Financial Risk Modelling and Portfolio Optimization with R

How to Cite

Pfaff, B. (2012) Financial Market Data, in Financial Risk Modelling and Portfolio Optimization with R, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9781118477144.ch3

Author Information

  1. Invesco Global Strategies, Germany

Publication History

  1. Published Online: 30 OCT 2012
  2. Published Print: 28 DEC 2012

ISBN Information

Print ISBN: 9780470978702

Online ISBN: 9781118477144

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Keywords:

  • European equity market;
  • financial market data;
  • financial market risks;
  • multivariate financial returns;
  • risk models;
  • Siemens stock;
  • stylized facts;
  • univariate financial returns

Summary

This chapter considers and reviews typical characteristics of financial market data. It summarizes the typical characteristics of financial market data in the literature as stylized facts. The chapter also elucidates the stylized facts for univariate and multivariate financial returns. The stylized facts exemplified in the chapter are the stock returns of Siemens and European equity market. Finally, the chapter discusses the implications for risk models.

Controlled Vocabulary Terms

Stylized facts; multivariate distribution; univariate distribution