Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions

DOI10.1080/07362994.2012.668443zbMath1251.91062OpenAlexW2082355853MaRDI QIDQ2893289

Alla Sikorskii, S. Petherick, Nikolai N. Leonenko

Publication date: 20 June 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2012.668443

zbMATH Keywords

self-similaritynormal inverse Gaussian distributiongeometric Brownian motionLévy noiseOrnstein-Uhlenbeck type processesvariance gamma distributionfractal activity time

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)

Related Items (7)

An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit ⋮ Fractional Skellam processes with applications to finance ⋮ Student-like models for risky asset with dependence ⋮ Weak dependence and GMM estimation of supOU and mixed moving average processes ⋮ A generalized hyperbolic model for a risky asset with dependence ⋮ Intermittency of superpositions of Ornstein-Uhlenbeck type processes ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time

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