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~isPartOf:"DISA Working Papers"
~person:"Taufer, Emanuele"
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Search: subject:"self-decomposable distribution"
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Ornstein-Uhlenbeck process
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self-decomposable distribution
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Exchange rates
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Taufer, Emanuele
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Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento
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Multifractal Scaling for Risky Asset Modelling
Taufer, Emanuele
;
Leonenko, Nikolai
;
Petherick, EStuart
-
Dipartimento di Informatica e Studi Aziendali, …
-
2012
driven by L«evy motion. Given a
self-decomposable
distribution
, conditions for constructiong multifractal scenarios and …
Persistent link: https://www.econbiz.de/10010819749
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2
Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes.
Taufer, Emanuele
-
Dipartimento di Informatica e Studi Aziendali, …
-
2008
Continuous non-Gaussian stationary processes of the OU-type are becoming increasingly popular given their flexibility in modelling stylized features of financial series such as asymmetry, heavy tails and jumps. The use of non-Gaussian marginal distributions makes likelihood analysis of these...
Persistent link: https://www.econbiz.de/10005036123
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