The Student Subordinator Model with Dependence for Risky Asset Returns
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Publication:2890083
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
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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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