Generalized hyperbolic processes autocovariance functions

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Title Generalized hyperbolic processes autocovariance functions
Autor: Troush, Mikolai Mikolaevich; Kuzmina, Anna
URI: http://hdl.handle.net/11331/3431
Date: 2014
Źródło: Studia Informatica : systemy i technologie informacyjne. Nr 18 (2014), s. 37-45
Abstract: 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 gamma process and the hyperbolic process are deduced at this paper.

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Uznanie autorstwa-Na tych samych warunkach 3.0 Polska Except where otherwise noted, this item's license is described as Uznanie autorstwa-Na tych samych warunkach 3.0 Polska

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