Stationary-increment student and variance-gamma processes

Journal of Applied Probability

Volumn 43, Issue 2, 2006, Pages 441-453

  Finlay, Richard ^a   Seneta, Eugene ^a  

^a UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Efficient market; Heavy tail; Laplace distribution; Long range dependence; Martingale; Minimum 2 estimation; Self similarity; Skew stationary process; Skewness; Subordinator; t distribution; Variance gamma distribution; Volatility

Indexed keywords

EID: 33845343981     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1152413733     Document Type: Article

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