Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Non-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability theory fo...
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| Format: | Journal article |
| Language: | English |
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Blackwell Publishing
2001
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