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Processes of normal inverse Gaussian type

Ole Barndorff-Nielsen ()

Finance and Stochastics, 1997, vol. 2, issue 1, 41-68

Abstract: 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.

Keywords: Background driving LÊvy processes; long range dependence; Ornstein-Uhlenbeck type; selfdecomposability; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C10 C51 (search for similar items in EconPapers)
Date: 1997-11-13
Note: received: September 1996; final version received: May 1997
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