Processes of normal inverse Gaussian type
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Publication:1381483
DOI10.1007/s007800050032zbMath0894.90011OpenAlexW2148688139MaRDI QIDQ1381483
Publication date: 17 March 1998
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050032
stochastic volatilitylong range dependenceselfdecomposabilitybackground driving Lévy processesOrnstein-Uhlenbeck type
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35) Distribution theory (60E99)
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