Diffusion-type models with given marginal distribution and autocorrelation function
Work
Year: 2005
Type: article
Abstract: Flexible stationary diffusion-type models are developed that can fit both the marginal distribution and the correlation structure found in many time series from, for example, finance and turbulence. D... more
Source: Bernoulli
Institutions Royal Agricultural University, Royal Ottawa Mental Health Centre, Institute of Mathematical Statistics
Cites: 25
Cited by: 128
Related to: 10
FWCI: 5.148
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze