Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk (Q5407022)
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scientific article; zbMATH DE number 6279823
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| English | Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk |
scientific article; zbMATH DE number 6279823 |
Statements
Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk (English)
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4 April 2014
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conditional characteristic function
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macroeconomic variables process
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long-range dependence
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fractional Brownian motion
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fractional Lévy process
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prediction
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0.7494599223136902
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0.7428466081619263
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0.7413502335548401
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0.7296353578567505
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0.7265651226043701
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