Modelling and Prediction of Financial Time Series
DOI10.1080/03610926.2012.754467zbMath1422.62278OpenAlexW2161350932MaRDI QIDQ5419653
Publication date: 11 June 2014
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.754467
predictiontime seriesOrnstein-Uhlenbeck processstationaryLévy processsemi-parametric modelergodic diffusionelliptic distribution
Inference from stochastic processes and prediction (62M20) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Portfolio theory (91G10)
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