Processes of normal inverse Gaussian type

With the aim of modelling key stylized features of observational series from finance and turbulence a number of stochastic processes with normal inverse Gaussian marginals and various types of dependence structures are discussed. Ornstein-Uhlenbeck type processes, superpositions of such processes and stochastic volatility models in one and more dimensions are considered in particular, and some discussion is given of the feasibility of making likelihood inference for these models.

MoreLess

Year of publication:	1997-11-13
Authors:	Barndorff-Nielsen, Ole E.
Published in:	Finance and Stochastics. - Springer. - Vol. 2.1997, 1, p. 41-68
Publisher:	Springer
Subject:	Background driving LÊvy processes \| long range dependence \| Ornstein-Uhlenbeck type \| selfdecomposability \| stochastic volatility

More details

Extent:	application/pdf application/postscript
Type of publication:	Article
Notes:	received: September 1996; final version received: May 1997
Classification:	C10 - Econometric and Statistical Methods: General. General ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005390731