ABSTRACT
The analysis and modeling of financial time series have been, and are continuing to be, actively developed as to ways to identify and model statistical properties that appear to remain consistent over a period of time. With regard to financial data, such consistent properties are known as stylized facts, and they are often used to support investment decisions. For example, an investor might be interested in building a risk measure based on the statistical distribution of asset returns. Another example is the modeling of time-dependent structures, such as conditional volatility.
