Add to ORKGGeneralized hyperbolic processes are Levy processes which allow an almost perfect fit to financial data. Autocovariance functions of generalized hyperbolic processes such as the normal inverse Gaussian process, the variance gamma process and the hyperbolic process are deduced at this paper
The generalised autocovariance function is defined for a stationary stochastic process as the invers...
The generalized hyperbolic (GH) distributions form a five parameter family of probability distributi...
The paper introduces the generalised partial autocorrelation (GPAC) coefficients of a stationary sto...
International audienceThe fitting of Lévy processes is an important field of interest in both option...
We define a nonlinear autoregressive time series model based on the generalized hyperbolic distribut...
87 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005.Let Yt be a rotationally invar...
The goal of the paper is to show that some types of Levy processes such as the hyperbolic motion and...
In this study, the stock prices process is modelled by stochastic differential equation driven by a ...
This Demonstration shows the probability density function of the generalized hyperbolic distribution...
Dufresne et al. (1991) introduced a general risk model defined as the limit of compound Poisson proc...
Dufresne et al. (1991) introduced a general risk model defined as the limit of compound Poisson proc...
We introduce an autoregressive process called generalized normal-Laplace autoregressive process with...
Abstract. Hyperbolic decay time series such as fractional Gaussian noise or fractional autoregressiv...
Multivariate Laplace distribution is an important stochastic model that accounts for asymmetry and h...
The generalised autocovariance function is defined for a stationary stochastic process as the invers...
The generalized hyperbolic (GH) distributions form a five parameter family of probability distributi...
The paper introduces the generalised partial autocorrelation (GPAC) coefficients of a stationary sto...
International audienceThe fitting of Lévy processes is an important field of interest in both option...
We define a nonlinear autoregressive time series model based on the generalized hyperbolic distribut...
87 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005.Let Yt be a rotationally invar...
The goal of the paper is to show that some types of Levy processes such as the hyperbolic motion and...
In this study, the stock prices process is modelled by stochastic differential equation driven by a ...
This Demonstration shows the probability density function of the generalized hyperbolic distribution...
Dufresne et al. (1991) introduced a general risk model defined as the limit of compound Poisson proc...
Dufresne et al. (1991) introduced a general risk model defined as the limit of compound Poisson proc...
We introduce an autoregressive process called generalized normal-Laplace autoregressive process with...
Abstract. Hyperbolic decay time series such as fractional Gaussian noise or fractional autoregressiv...
Multivariate Laplace distribution is an important stochastic model that accounts for asymmetry and h...
The generalised autocovariance function is defined for a stationary stochastic process as the invers...
The generalized hyperbolic (GH) distributions form a five parameter family of probability distributi...
The paper introduces the generalised partial autocorrelation (GPAC) coefficients of a stationary sto...