Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 0894.90011
Barndorff-Nielsen, Ole E.
Processes of normal inverse Gaussian type. (English)
[J] Finance Stoch. 2, No.1, 41-68 (1998). ISSN 0949-2984; ISSN 1432-1122/e

Summary: With the aim of modelling key stylized features of observational series from finance and turbulence a number of stochastic processes with normal inverse Gaussian marginals and various types of dependence structures are discussed. Ornstein-Uhlenbeck type processes, superpositions of such processes and stochastic volatility models in one and more dimensions are considered in particular, and some discussion is given of the feasibility of making likelihood inference for these models.

MSC 2000:: *91B28 Finance etc.
60E99 Distribution theory in probability theory
60G10 Stationary processes
60G35 Appl. of stochastic processes
62M10 Time series, etc. (statistics)
62P05 Appl. of statistics to actuarial sciences and financial mathematics

Keywords: background driving Lévy processes; long range dependence; Ornstein-Uhlenbeck type; selfdecomposability; stochastic volatility

Cited in: Zbl 1092.91022 Zbl 0959.60034

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]