Article contents
An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit
Published online by Cambridge University Press: 04 February 2016
Abstract
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.
MSC classification
- Type
- Research Article
- Information
- Copyright
- © Applied Probability Trust
References
- 2
- Cited by