Normal modified stable processes

Working paper

This paper discusses two classes of distributions, and stochastic processes derived from them: modified stable (MS) laws and normal modified stable (NMS) laws. This extends corresponding results for the generalised inverse Gaussian (GIG) and generalised hyperbolic (GH) or normal generalised inverse Gaussian (NGIG) laws. The wider framework thus established provides, in particular, for added flexibility in the modelling of the dynamics of financial time series, of importance especially as rega...

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Authors: Shephard, N; Barndorff-Nielsen, O

• Publication status: Published
• Publisher: University of Oxford Publisher's website
• Series: Department of Economics Discussion Paper Series
• Publication date: 2001-07-01
• Paper number: 72
• Keywords: inverse Gaussian; Lévy process; subordination; OU process; stable; stochastic volatility; tempered stable