An inverse gamma activity time process with noninteger parameters and a self-similar limit
Richard Finlay, Eugene Seneta, and Dingcheng Wang
Source: J. Appl. Probab.
Volume 49, Number 2
We construct a process with inverse gamma increments and an asymptotically
self-similar limit. This construction supports the use of long-range-dependent
t subordinator models for actual financial data as advocated in Heyde
and Leonenko (2005), in that it allows for noninteger-valued model parameters,
as is found empirically in model estimation from data.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1339878797
Digital Object Identifier: doi:10.1239/jap/1339878797
Zentralblatt MATH identifier: 06053722
Mathematical Reviews number (MathSciNet): MR2977806
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