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

Source

Advances in Applied Probability

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

Restricted until