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Levy Process

SSRN Electronic Journal, 2016
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STEEL PRICE MODELLING WITH LEVY PROCESS

2012
The aim of this study is to model steel price returns by Lévy process. The daily LME Steel Billets Spot Prices between 04.01. 2010 and 31.10.2011 are analyzed and AR[1] ~ GARCH[1,1] discrete model is found to be the best candidate taking all indicators into account.
KAHRAMAN, Emre, UNAL, Gazanfer
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