Dynamic models of long-memory processes driven by Lévy noise
V. V. Anh, C. C. Heyde, and N. N. Leonenko
Source: J. Appl. Probab. Volume 39, Number 4
(2002), 730-747.
Abstract
A class of continuous-time models is developed for modelling data with heavy tails and long-range dependence. These models are based on the Green function solutions of fractional differential equations driven by Lévy noise. Some exact results on the second- and higher-order characteristics of the equations are obtained. Applications to stochastic volatility of asset prices and macroeconomics are provided.
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Keywords: Long-range dependence; Lévy processes; heavy-tailed processes; fractional stochastic differential equations
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1037816015
Digital Object Identifier: doi:10.1239/jap/1037816015
Mathematical Reviews number (MathSciNet): MR1938167
Zentralblatt MATH identifier: 1016.60039
Journal of Applied Probability
