Browsing by Subject "Variance gamma process"

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Browsing by Subject "Variance gamma process"

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  • Troush, Mikolai Mikolaevich; Kuzmina, Anna (Wydawnictwo Uniwersytetu Przyrodniczo-Humanistycznego, 2014)
    Generalized hyperbolic processes are Levy processes which allow an almost perfect fit to financial data. Autocovariance functions of generalized hyperbolic processes such as the normal inverse Gaussian process, the variance ...