Ornstein-Uhlenbeck type processes with heavy distribution tails

@article{Borovkov2011OrnsteinUhlenbeckTP,
  title={Ornstein-Uhlenbeck type processes with heavy distribution tails},
  author={Konstantin Borovkov and Geoffrey Decrouez},
  journal={arXiv: Probability},
  year={2011}
}
We consider a transformed Ornstein-Uhlenbeck process model that can be a good candidate for modelling real-life processes characterized by a combination of time-reverting behaviour with heavy distribution tails. We begin with presenting the results of an exploratory statistical analysis of the log prices of a major Australian public company, demonstrating several key features typical of such time series. Motivated by these findings, we suggest a simple transformed Ornstein-Uhlenbeck process… Expand

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