Ornstein–Uhlenbeck type processes with non-normal distribution
1999 ◽
Vol 36
(2)
◽
pp. 389-402
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Keyword(s):
We analyse a class of diffusion models that (i) allows an explicit expression for the likelihood function of discrete time observation, (ii) allows the possibility of heavy-tailed observations, and (iii) allows an analysis of the tails of the increments. The class simply consists of transformed Ornstein–Uhlenbeck processes and is of relevance for heavy-tailed time series. We also treat the question of the existence of an equivalent martingale measure for the class of models considered.
1999 ◽
Vol 36
(02)
◽
pp. 389-402
◽
2020 ◽
Vol 137
◽
pp. 104626
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Keyword(s):
1986 ◽
Vol AES-22
(2)
◽
pp. 170-176
2017 ◽
Vol 91
(2)
◽
pp. 411-419
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Keyword(s):
2008 ◽
Vol 62
(5)
◽
pp. 823-833