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An inverse gamma activity time process with noninteger parameters and a self-similar limit

Finlay, Richard; Wang, Dingcheng; Seneta, E

Description

We construct a process with inverse gamma increments and an asymptotically self-similar limit. This construction supports the use of long-range-dependent t subordinator models for actual financial data as advocated in Heyde and Leonenko (2005), in that it allows for noninteger-valued model parameters, as is found empirically in model estimation from data.

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/71792
Source: Journal of Applied Probability
DOI: 10.1239/jap/1339878797

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