Generalized hyperbolic processes autocovariance functions
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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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. Retrieved from https://czasopisma.uph.edu.pl/studiainformatica/article/view/294