Student processes
- 1 June 2005
- journal article
- research article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 37 (2) , 342-365
- https://doi.org/10.1239/aap/1118858629
Abstract
Stochastic processes with Student marginals and various types of dependence structure, allowing for both short- and long-range dependence, are discussed in this paper. A particular motivation is the modelling of risky asset time series.Keywords
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