Generalized hyperbolic processes autocovariance functions

Authors

  • Mikolai Mikolaevich Troush
  • Anna Kuzmina

Abstract

Generalized hyperbolic processes are Levy processes which allow an almost perfect fit to financial data. Autocovariance functions of generalized hyperbolic processes such as the normal inverse Gaussian process, the variance gamma process and the hyperbolic process are deduced at this paper.

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Published

09.05.2019

How to Cite

Troush, M. M., & Kuzmina, A. (2019). Generalized hyperbolic processes autocovariance functions. Studia Informatica. System and Information Technology, 18(1-2), 37-46. https://www.czasopisma.uph.edu.pl/studiainformatica/article/view/294