Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions (Q2893289)
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scientific article; zbMATH DE number 6048113
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| English | Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions |
scientific article; zbMATH DE number 6048113 |
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Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions (English)
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20 June 2012
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fractal activity time
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geometric Brownian motion
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Lévy noise
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normal inverse Gaussian distribution
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Ornstein-Uhlenbeck type processes
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self-similarity
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variance gamma distribution
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0.95508873
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0.9422916
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0.87265176
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0.8704524
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0.85951483
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0.8458887
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