Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes

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dc.contributor.author	Lindner, Alexander
dc.contributor.author	Maller, Ross A
dc.date.accessioned	2005-08-24
dc.date.accessioned	2006-03-27T02:08:06Z
dc.date.accessioned	2011-01-05T08:32:55Z
dc.date.available	2006-03-27T02:08:06Z
dc.date.available	2011-01-05T08:32:55Z
dc.date.created	2005
dc.identifier.uri	http://hdl.handle.net/1885/43031
dc.identifier.uri	http://digitalcollections.anu.edu.au/handle/1885/43031
dc.description.abstract	not available
dc.format.extent	269865 bytes
dc.format.extent	350 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/octet-stream
dc.language.iso	en_AU
dc.subject	levy integral
dc.subject	generalised Ornstein-Uhlenbeck process
dc.subject	autocovariance function
dc.subject	heavy-tailed behaviour
dc.subject	stochastic integral
dc.subject	strict stationarity
dc.title	Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
dc.type	Working/Technical Paper
local.description.refereed	no
local.identifier.citationmonth	may
local.identifier.citationyear	2005
local.identifier.eprintid	3187
local.rights.ispublished	yes
dc.date.issued	2005
local.contributor.affiliation	ANU
local.contributor.affiliation	Faculty of Economics and Commerce
local.citation	Series in Finance 05-02
Collections	ANU Research Publications

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