Processes of normal inverse Gaussian type

被引：26

作者：

Ole E. Barndorff-Nielsen

机构：

[1] Department of Mathematical Sciences,

[2] University of Aarhus,undefined

[3] Ny Munkegade,undefined

[4] DK-8000 Aarhus C,undefined

[5] Denmark ,undefined

来源：

Finance and Stochastics | 1997年 / 2卷 / 1期

关键词：

Key words: Background driving Lévy processes, long range dependence, Ornstein-Uhlenbeck type, selfdecomposability, stochastic volatility JEL classification: C10, C51 Mathematics Subject Classification (1991): 60E99, 60G10, 60G35, 62M10, 62P05;

D O I：

10.1007/s007800050032

中图分类号：

学科分类号：

摘要：

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.

引用

页码：41 / 68

页数：27