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arXiv · 1402.2882

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

Almut E. D. Veraart
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Abstract

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 fields and their probabilistic properties are discussed. Also, two methods for parameterising the weight functions in the moving average representation are presented: One method is based on Fourier techniques and aims at reproducing a given correlation structure, the other method is based on ideas from stochastic partial differential equations. Moreover, using a generalised Lamperti transform we construct volatility modulated multi-self-similar random fields which have type G distribution.

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BibTeXRIS

Almut E. D. Veraart. 2014-02-12. Stationary and multi-self-similar random fields with stochastic volatility. https://arxiv.org/abs/1402.2882

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