Found 22 Documents (Results 1–22)
The multifaceted behavior of integrated supOU processes: the infinite variance case. (English) Zbl 1469.60078
Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes. (English) Zbl 1427.60045
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes. (English) Zbl 1466.60095
Multifractal scenarios for products of geometric Lévy-based stationary models. (English) Zbl 1342.60075
Hyperbolic vector random fields with hyperbolic direct and cross covariance functions. (English) Zbl 1266.60067
Reviewer: Almut Veraart (London)
Fractal activity time models for risky asset with dependence and generalized hyperbolic distributions. (English) Zbl 1251.91062
Reviewer: Rudolf Gorenflo (Berlin)
A normal inverse Gaussian model for a risky asset with dependence. (English) Zbl 1236.91135
Reviewer: Hanspeter Schmidli (Köln)
Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models. (English) Zbl 1464.62170
Asymptotic optimal designs under long-range dependence error structure. (English) Zbl 1200.62084
Bernoulli 15, No. 4, 1036-1056 (2009); correction ibid. 18, No. 2, 746 (2012).
Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution. (English) Zbl 1453.60005
Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes. (English) Zbl 1168.62074
Multifractal products of stationary diffusion processes. (English) Zbl 1178.60038
Reviewer: Isamu Dôku (Saitama)
Spatiotemporal random fields associated with stochastic fractional Helmholtz and heat equations. (English) Zbl 1177.60052
Linnik processes. (English) Zbl 1199.60111
Reviewer: Rostyslav E. Yamnenko (Kyïv)
Multifractality of products of geometric Ornstein-Uhlenbeck-type processes. (English) Zbl 1181.60061
Reviewer: Peter Mörters (Bath)
Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion. (English) Zbl 1082.60014
Student processes. (English) Zbl 1081.60035
Reviewer: Ilya Pavlyukevitch (Berlin)
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