Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics - Discussion
成果类型：
Editorial Material
署名作者：
Hodges, SD; Roberts, G; Papaspiliopoulos, O; Sentana, E; Bingham, NH; Cox, DR; Nicolato, E; Venardos, E; Critchley, F; Davis, MHA; Tompkins, R; Benth, FE; Karlsen, KH; Reikvam, K; Brockwell, PJ; Davis, RA; Christensen, BJ; Dellaportas, P; McCoy, EJ; Stephens, DA; Diebold, FX; Frühwirth-Schnatter, S; Genon-Catalot, V; Larédo, C; Grange, CWJ; Griffin, JE; Steel, MFJ; Hobson, D; Jensen, JL; Jones, MC; Lawrance, AJ; Ledford, AW; Leonenko, NN; Levendorskii, S; Mandelbrot, BB; Meddahi, N; Pitt, MK; Priestley, MB; Renault, E; Rosinski, J; Sato, K; Taylor, SJ; Tong, H; Yang, H; Veretennikov, AY; Walker, SG; Werker, BJM; Wood, A
署名单位：
University of Warwick; Lancaster University; Brunel University; University of Oxford; Aarhus University; Open University - UK; Imperial College London; Technische Universitat Wien; University of Oslo; University of Bergen; Colorado State University System; Colorado State University Fort Collins; Athens University of Economics & Business; University of Pennsylvania; Universite Gustave-Eiffel; INRAE; Universite Paris Saclay; Sorbonne Universite; Universite Paris Cite; University of California System; University of California San Diego; University of Kent; University of Bath; University of Birmingham; University of Surrey; Cardiff University; Southern Federal University; Rostov State University of Economics; Yale University; Universite de Montreal; University of Manchester; University of Tennessee System; University of Tennessee Knoxville; Nagoya University; University of Hong Kong; University of London; London School Economics & Political Science; University of Leeds; Tilburg University; University of Nottingham
刊物名称：
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
ISSN/ISSBN：
1369-7412
发表日期：
2001
页码：
208-241
关键词：
stochastic volatility
long-memory
time-series
stationary-processes
portfolio rules
PRICING-MODELS
term structure
consumption
simulation
dependence