Ornstein–Uhlenbeck type processes with non-normal distribution

DOI10.1239/JAP/1032374460zbMATH Open0945.60078OpenAlexW2027254473MaRDI QIDQ4935334FDOQ4935334

Authors:

Publication date: 3 October 2000

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1032374460

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Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

Cited In (7)

• Ornstein-Uhlenbeck type processes with heavy distribution tails
• Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
• Assessing sectoral risk through skew-error capital asset pricing model: empirical evidence from Thai stock market
• On a diffusion process intermediate between standard Brownian motion and the Ornstein-Uhlenbeck process
• Ornstein-Uhlenbeck process with non-Gaussian structure
• A copula-based method to build diffusion models with prescribed marginal and serial dependence
• A class of nonlinear random walks related to the Ornstein-Uhlenbeck process

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