A Class of Shot Noise Models for Nancial Applications
نویسنده
چکیده
We describe a class of non-Markov shot noise processes that can be used as models for rates of return on securities, exchange rate processes and other processes in nance. These are continuous time processes that can exhibit heavy tails that become lighter when sampling interval increases, clustering and long memory.
منابع مشابه
Tail Behavior of Shot Noise Processes
We discuss the diierent ways heavy tails can arise in shot noise models and possible applications of the latter to nancial modeling.
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تاریخ انتشار 1996