Expressions for (absolute) moments of generalized hyperbolic and normal inverse Gaussian (NIG) laws are given in terms of moments of the corresponding symmetric laws. For the (absolute) moments centred at the location parameter "μ" explicit expressions as series containing Bessel functions are...

type="main" xml:id="sjos12056-abs-0001" <title type="main">ABSTRACT</title>This paper introduces a new continuous-time framework for modelling serially correlated count and integer-valued data. The key component in our new model is the class of integer-valued trawl processes, which are serially correlated, stationary,...

In this paper, we study the detailed distributional properties of integrated non-Gaussian Ornstein-Uhlenbeck (intOU) processes. Both exact and approximate results are given. We emphasize the study of the tail behaviour of the intOU process. Our results have many potential applications in...

Lévy processes and infinitely divisible distributions are increasingly defined in terms of their Lévy measure. In order to describe the dependence structure of a multivariate Lévy measure, Tankov (2003) introduced Lévy copulas on <formula format="inline"><file name="sjos_527_mu1.gif" type="gif" /></formula>. (For an extension to <b><openface>R</openface>-super-<b>""m""</b></b>, see Kallsen & Tankov,...