Dynamic models of long-memory processes driven by Lévy noise
| Autor: | Nikolai Leonenko, Chris Heyde, Vo Anh |
|---|---|
| Rok vydání: | 2002 |
| Předmět: |
Statistics and Probability
Stochastic volatility Differential equation General Mathematics 010102 general mathematics 01 natural sciences Lévy process Fractional calculus 010104 statistics & probability Levy noise Macroeconomic model Dynamic models Heavy-tailed distribution Econometrics Statistical physics 0101 mathematics Statistics Probability and Uncertainty Mathematics |
| Zdroj: | Journal of Applied Probability. 39:730-747 |
| ISSN: | 1475-6072 0021-9002 |
| DOI: | 10.1239/jap/1037816015 |
| Popis: | A class of continuous-time models is developed for modelling data with heavy tails and long-range dependence. These models are based on the Green function solutions of fractional differential equations driven by Lévy noise. Some exact results on the second- and higher-order characteristics of the equations are obtained. Applications to stochastic volatility of asset prices and macroeconomics are provided. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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