Modeling financial asset returns with shot noise processes
type: Item
instance of: scholarly article
title: Modeling financial asset returns with shot noise processes
zbMATH Open document ID: 0992.91041
DOI: 10.1016/S0895-7177(99)00089-8
author: R. Smith
published in: Mathematical and Computer Modelling
publication date: 2002-05-05T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1737620
MaRDI profile type: Publication
cites work: Portfolio Analysis in a Stable Paretian Market
cites work: Q5445942
cites work: Modeling asset returns with alternative stable distributions*
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Q4714002
full work available at URL: s0895-7177(99)00089-8
OpenAlex ID: W1982979001
description: scientific article; zbMATH DE number 1737620