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Student-like models for risky asset with dependence

Castelli, F., Leonenko, Nikolai 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: 08 Jan 2018 11:18
URI: http://orca.cf.ac.uk/id/eprint/96940

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