Student-like models for risky asset with dependence

Castelli, F., Leonenko, Nikolai ORCID: https://orcid.org/0000-0003-1932-4091 and Shchestyuk, Nikolai N. 2017. Student-like models for risky asset with dependence. Stochastic Analysis and Applications 35 , pp. 452-464. 10.1080/07362994.2016.1266945

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Abstract

We present a new construction of the Student and Student-like fractal activity time model for risky asset. The construction uses the diffusion processes and their superpositions and allows for specified exact Student or Student-like marginal distributions of the returns and for exible and tractable dependence structure. The fractal activity time is asymptotically self-similar, which is a desired feature seen in practice.

Item Type:	Article
Date Type:	Published Online
Status:	Published
Schools:	Mathematics
Subjects:	Q Science > QA Mathematics
Publisher:	Taylor and Francis
ISSN:	0736-2994
Date of First Compliant Deposit:	15 December 2016
Date of Acceptance:	28 November 2016
Last Modified:	07 Nov 2023 00:27
URI:	https://orca.cardiff.ac.uk/id/eprint/96940

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