NON-GAUSSIAN STATISTICS OF OIL PRICING TIME-SERIES: A CASE STUDY

DOI10.1142/S0218348X10004683zbMath1190.62181MaRDI QIDQ3573165

No author found.

Publication date: 30 June 2010

Published in: Fractals (Search for Journal in Brave)

zbMATH Keywords

fractal; stochastic; Lévy distribution

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

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

91G70: Statistical methods; risk measures

Cites Work

• Elements for a theory of financial risks
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Levy Statistics and Laser Cooling
• Evidence of Markov properties of high frequency exchange rate data