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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Official URL: http://dx.doi.org/10.1080/07362994.2016.1266945
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: | 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: | 30 Nov 2024 07:15 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/96940 |
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