Dynamic models of long-memory processes driven by Lévy noise

Autor:	V. V. Anh, C. C. Heyde, N. N. Leonenko
Rok vydání:	2002
Předmět:	Statistics and Probability 050208 finance General Mathematics 0502 economics and business 05 social sciences 050207 economics Statistics Probability and Uncertainty
Zdroj:	Journal of Applied Probability. 39:730-747
ISSN:	1475-6072 0021-9002
DOI:	10.1017/s0021900200022002
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:	https://explore.openaire.eu/search/publication?articleId=doi_________::7d0cc267620cfd2884db34db286d7002 https://doi.org/10.1017/s0021900200022002 Zobrazit plný text záznamu