Integrated OU processes and non-Gaussian OU-based stochastic volatility models
In this paper, we study the detailed distributional properties of integrated non-Gaussian Ornstein–Uhlenbeck (intOU) processes. Both exact and approximate results are given. We emphasize the study of the tail behaviour of the intOU process. Our results have many potential applications in financial e...
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| Médium: | Journal article |
| Jazyk: | English |
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Blackwell Publishing
2003
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