The Student Subordinator Model with Dependence for Risky Asset Returns

DOI10.1080/03610926.2011.581175zbMath1277.62212MaRDI QIDQ2890083

Nikolai N. Leonenko, Alla Sikorskii, S. Petherick

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

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G15: Gaussian processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60G10: Stationary stochastic processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

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