Student processes

Chris C. Heyde; N. N. Leonenko

doi:10.1239/aap/1118858629

Student processes

Chris C. Heyde^*
, N. N. Leonenko

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

102 Citations (Scopus)

Abstract

Stochastic processes with Student marginals and various types of dependence structure, allowing for both short- and long-range dependence, are discussed in this paper. A particular motivation is the modelling of risky asset time series.

Original language	English
Pages (from-to)	342-365
Number of pages	24
Journal	Advances in Applied Probability
Volume	37
Issue number	2
DOIs	https://doi.org/10.1239/aap/1118858629
Publication status	Published - Jun 2005

Access to Document

10.1239/aap/1118858629

Cite this

@article{8a37cbfc8f8e44edbb244abe9b77e3fa,

title = "Student processes",

abstract = "Stochastic processes with Student marginals and various types of dependence structure, allowing for both short- and long-range dependence, are discussed in this paper. A particular motivation is the modelling of risky asset time series.",

keywords = "Long-range dependence, Ornstein-Uhlenbeck-type process, Self-decomposability, Student distribution",

author = "Heyde, \{Chris C.\} and Leonenko, \{N. N.\}",

year = "2005",

month = jun,

doi = "10.1239/aap/1118858629",

language = "English",

volume = "37",

pages = "342--365",

journal = "Advances in Applied Probability",

issn = "0001-8678",

publisher = "Cambridge University Press",

number = "2",

}

TY - JOUR

T1 - Student processes

AU - Heyde, Chris C.

AU - Leonenko, N. N.

PY - 2005/6

Y1 - 2005/6

N2 - Stochastic processes with Student marginals and various types of dependence structure, allowing for both short- and long-range dependence, are discussed in this paper. A particular motivation is the modelling of risky asset time series.

AB - Stochastic processes with Student marginals and various types of dependence structure, allowing for both short- and long-range dependence, are discussed in this paper. A particular motivation is the modelling of risky asset time series.

KW - Long-range dependence

KW - Ornstein-Uhlenbeck-type process

KW - Self-decomposability

KW - Student distribution

UR - https://www.scopus.com/pages/publications/22244465896

U2 - 10.1239/aap/1118858629

DO - 10.1239/aap/1118858629

M3 - Article

SN - 0001-8678

VL - 37

SP - 342

EP - 365

JO - Advances in Applied Probability

JF - Advances in Applied Probability

IS - 2

ER -

Student processes

Abstract

Access to Document

Other files and links

Fingerprint

Cite this