The Student Subordinator Model with Dependence for Risky Asset Returns

DOI10.1080/03610926.2011.581175zbMath1277.62212OpenAlexW2054081510MaRDI QIDQ2890083

S. Petherick, Alla Sikorskii, Nikolai N. Leonenko

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.581175

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Related Items (7)

Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions ⋮ Detecting multifractal stochastic processes under heavy-tailed effects ⋮ Student-like models for risky asset with dependence ⋮ A normal inverse Gaussian model for a risky asset with dependence ⋮ A generalized hyperbolic model for a risky asset with dependence ⋮ Student'stVector Random Fields with Power-Law and Log-Law Decaying Direct and Cross Covariances ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time

Cites Work

• The past and future of empirical finance: some personal comments
• A note on the characteristic function of the \(t\)-distribution
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Stationary-increment Student and variance-gamma processes
• OPTION PRICING WITH VG–LIKE MODELS
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Realistic Statistical Modelling of Financial Data
• A risky asset model with strong dependence through fractal activity time
• Student processes

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