Article ID Journal Published Year Pages File Type
7383034 Physica A: Statistical Mechanics and its Applications 2011 9 Pages PDF
Abstract
► We propose a new model that combines subdiffusive behavior with heavy tailed distributions. ► We derive the estimation procedure. ► We calibrate the proposed model to the interest rates data.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Preview
Subordinated α-stable Ornstein-Uhlenbeck process as a tool for financial data description
Authors
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