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Processes of normal inverse Gaussian type. (English) Zbl 0894.90011
Summary: With the aim of modelling key stylized features of observational series from finance and turbulence a number of stochastic processes with normal inverse Gaussian marginals and various types of dependence structures are discussed. Ornstein-Uhlenbeck type processes, superpositions of such processes and stochastic volatility models in one and more dimensions are considered in particular, and some discussion is given of the feasibility of making likelihood inference for these models.

MSC:
91B28 Finance etc. (MSC2000)
60E99 Distribution theory
60G10 Stationary stochastic processes
60G35 Signal detection and filtering (aspects of stochastic processes)
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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