Author:
Anh V. V.,Heyde C. C.,Leonenko N. N.
Abstract
A class of continuous-time models is developed for modelling data with heavy tails and long-range dependence. These models are based on the Green function solutions of fractional differential equations driven by Lévy noise. Some exact results on the second- and higher-order characteristics of the equations are obtained. Applications to stochastic volatility of asset prices and macroeconomics are provided.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
44 articles.
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