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

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Year of publication:	1998
Authors:	Barndorff-Nielsen, Ole E.
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Wahrscheinlichkeitsrechnung \| Probability theory \| Volatilität \| Volatility \| Zeitreihenanalyse \| Time series analysis
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance And Stochastics, Vol 2 No 1, 1998 Volltext nicht verfügbar
Classification:	C10 - Econometric and Statistical Methods: General. General ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014070167