Cultural advice

The Australian National University acknowledges, celebrates and pays our respects to the Ngunnawal and Ngambri people of the Canberra region and to all First Nations Australians on whose traditional lands we meet and work, and whose cultures are among the oldest continuing cultures in human history.

Aboriginal and Torres Strait Islander peoples are advised that ANU Library collections may include images, names, voices, and other representations of deceased persons.

Material in the collection may contain terms, language or views that reflect the period in which the item was created and may be considered inappropriate today.

Student Processes

Thumbnail Image

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

URI

http://hdl.handle.net/1885/81198

Collections

ANU Research Publications

Source

Advances in Applied Probability

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1239/aap/1118858629

Restricted until

DSpace software copyright © 2002-2026 LYRASIS

abcd