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Browsing by Author Heyde, C C

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Showing results 1 to 20 of 29

A Cautionary note on modeling with fractional Levy flights

Author(s)Heyde, C C; Sly, Allan
TypeJournal article
Date Published2008
Date Created-

A note on filtering for long memory processes.

Author(s)Thavaneswaran, A; Heyde, C C
TypeJournal article
Date Published2001
Date Created-

A risky asset model with strong dependence through fractal activity time

Author(s)Heyde, C C
TypeJournal article
Date Published1999
Date Created-

Agner Krarup Erlang

Author(s)Heyde, C C
TypeBook chapter
Date Published2001
Date Created-

Arbitrage and approximate arbitrage: The fundamental theorem of asset pricing

Author(s)Wong, Bernard; Heyde, C C
TypeJournal article
Date Published2010
Date Created-

Asymptotics and criticality for a correlated Bernoulli Process

Author(s)Heyde, C C
TypeJournal article
Date Published2004
Date Created-

Dynamic models of long-memory processes driven by Levy Noise

Author(s)Heyde, C C; Anh, Phan Thi Vang; Leonenko, N N
TypeJournal article
Date Published2002
Date Created-

Empirical realities for a minimal description risky asset model. The need for fractal features

Author(s)Heyde, C C; Liu, Shuangzhe
TypeJournal article
Date Published2001
Date Created-

Finite-time ruin probability with an exponential levy process investment return and heavy-tailed claims

Author(s)Heyde, C C; Wang, Dingcheng
TypeJournal article
Date Published2009
Date Created-

Fractal Scaling and Black-Scholes: the full story. A new view of long range dependence in stock prices

Author(s)Heyde, C C; Liu, Shuangzhe; Gay, R
TypeJournal article
Date Published2001
Date Created-

George Handley Knibbs

Author(s)Heyde, C C
TypeBook chapter
Date Published2001
Date Created-

John Graunt

Author(s)Heyde, C C
TypeBook chapter
Date Published2001
Date Created-

Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models

Author(s)Liu, Shuangzhe; Heyde, C C; Wong, Wing-Keung
TypeJournal article
Date Published2011
Date Created-

On changes of measure in stochastic volatility models

Author(s)Wong, Bernard; Heyde, C C
TypeJournal article
Date Published2006
Date Created-

On estimation in conditional heteroskedastic time series models under non-normal distributions

Author(s)Liu, Shuangzhe; Heyde, C C
TypeJournal article
Date Published2006
Date Created-

On modes of long-range dependence

Author(s)Heyde, C C
TypeJournal article
Date Published2002
Date Created-

On the controversy over tailweight of distributions

Author(s)Heyde, C C; Kou, S G
TypeJournal article
Date Published2004
Date Created-

On the martingale property of stochastic exponentials

Author(s)Wong, Bernard; Heyde, C C
TypeJournal article
Date Published2004
Date Created-

On the Problem of Discriminating between the Tails of Distributions

Author(s)Heyde, C C; Au, Khanhav
TypeBook chapter
Date Published2006
Date Created-

Parametric estimation of stochastic processes with long-range dependence and intermittency

Author(s)Gao, Jiangrui; Anh, Phan Thi Vang; Heyde, C C, et al
TypeJournal article
Date Published2001
Date Created-

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