Processes of normal inverse Gaussian type
With the aim of modelling key stylized features of observational series from finance and turbulence a number of stochastic processes with normal inverse Gaussian marginals and various types of dependence structures are discussed. Ornstein-Uhlenbeck type processes, superpositions of such processes and stochastic volatility models in one and more dimensions are considered in particular, and some discussion is given of the feasibility of making likelihood inference for these models.
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Volume (Year): 2 (1997)
Issue (Month): 1 ()
|Note:||received: September 1996; final version received: May 1997|
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