Modeling financial asset returns with shot noise processes
From MaRDI portal
Publication:1596864
DOI10.1016/S0895-7177(99)00089-8zbMath0992.91041OpenAlexW1982979001MaRDI QIDQ1596864
Publication date: 5 May 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00089-8
Related Items (4)
Stochastic equations and equations for probabilistic characteristics of processes with damped jumps ⋮ Functional Limit Theorems for Shot Noise Processes with Weakly Dependent Noises ⋮ Shot-Noise Processes in Finance ⋮ Combining perturbations and parameter variation to influence mean first passage times
Cites Work
- ARCH modeling in finance. A review of the theory and empirical evidence
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Modeling asset returns with alternative stable distributions*
- Portfolio Analysis in a Stable Paretian Market
- Unnamed Item
- Unnamed Item
This page was built for publication: Modeling financial asset returns with shot noise processes
