Articlebronze2005

Student processes

107 citations0/0 files storedAdvances in Applied Probability

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

Stochastic processes with Student marginals and various types of dependence structure, allowing for both short- and long-range dependence, are discussed in this paper. A particular motivation is the modelling of risky asset time series.

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References

2003Financial Modelling with Jump Processes 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1990The Variance Gamma (V.G.) Model for Share Market Returns 1997Processes of normal inverse Gaussian type 1995Hyperbolic Distributions in Finance 1975Weak convergence to fractional brownian motion and to the rosenblatt process 2003Lévy Processes in Finance 1995Nonparametric Pricing of Interest Rate Derivative Securities

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2012Spatial analysis of wave direction data using wrapped Gaussian processes 2007Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets 2006Stationary-increment Student and variance-gamma processes 2010Statistical Inference for Student Diffusion Process 2008OPTION PRICING WITH VG–LIKE MODELS

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