Stationary and multi-self-similar random fields with stochastic volatility

@article{Veraart2014StationaryAM,
  title={Stationary and multi-self-similar random fields with stochastic volatility},
  author={Almut E. D. Veraart},
  journal={Stochastics An International Journal of Probability and Stochastic Processes},
  year={2014},
  volume={87},
  pages={848 - 870}
}
  • Almut E. D. Veraart
  • Published 12 February 2014
  • Mathematics
  • Stochastics An International Journal of Probability and Stochastic Processes
This paper introduces stationary and multi-self-similar random fields which account for stochastic volatility and have type G marginal law. The stationary random fields are constructed using volatility modulated mixed moving average (MA) fields and their probabilistic properties are discussed. Also, two methods for parameterizing the weight functions in the MA representation are presented: one method is based on Fourier techniques and aims at reproducing a given correlation structure, the other… 
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