Student Processes
Date
2005
Authors
Heyde, C C
Leonenko, N N
Journal Title
Journal ISSN
Volume Title
Publisher
Applied Probability Trust
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.
Description
Keywords
Keywords: Economics; Finance; Mathematical models; Probability density function; Random processes; Time series analysis; Long range dependence; Ornstein-Uhlenbeck type process; Self decomposability; Student distribution; Probability distributions Long-range dependence; Ornstein-Uhlenbeck-type process; Self-decomposability; Student distribution
Citation
Collections
Source
Advances in Applied Probability
Type
Journal article