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Student Processes

Heyde, C C; Leonenko, N N

Description

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.

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/81198
Source: Advances in Applied Probability
DOI: 10.1239/aap/1118858629

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