Financial returns modelled by the product of two stochastic processes -- a study of daily sugar prices, 1961--79

MaRDI QIDQ3374305zbMATH OpenFDO

Authors Stephen Taylor

Publication date 9 March 2006

zbMATH Keywords

autocorrelation analysesparameter estimates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(8)

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• Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
• Functional diffusion driven stochastic volatility model
• Modeling asymmetric tail dependence in a non-Gaussian framework

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