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Dependence structure of stable R-GARCH processes
Dependence structure stable R-GARCH processes
2009/9/21
In this pper we invastipte properties of R-GARCH
procmses with ppositivr: steictcrly stab innovations. We derive the uzxconditiond
distributions and analyze the dependcect: structure;. This
at3alys...
THE DEPENDENCE STRUCTURE OF THE FRACTIONAL 0RNSTEIN-UE%EENBECK PROCESS
Long-range dependence stable processes Ornstein-Uhlenbeck process
2009/9/18
Let X(t) be a fractional Lbvy motion ol Bemann-
Liouville type and let Y(t) be a corresponding fractional stable
Ornstein-Uhlenbeck process obtained through the Lamperti transformation
of X (t). We...