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Abstract: We consider Poisson shot noise processes that are appropriate to model stock prices and provide an economic reason for long-range dependence in asset returns. (Update)
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BibTeX entry: (Update)
@misc{ ppelberg-fractional,
author = "Claudia Klüppelberg and Christoph Kühn",
title = "Fractional Brownian motion as a weak limit of Poisson shot noise processes
- with applications to finance",
url = "citeseer.ist.psu.edu/718993.html" }
Citations (may not include all citations):1749 An Introduction to Probability Theory and Its Applications (context) - Feller - 1971
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29 Stochastic Integration and Di erential Equations: A New Appr.. (context) - Protter - 1990
24 Point Processes and Queues (context) - Br - 1981
22 Arbitrage with fractional Brownian motion (context) - Rogers - 1997
22 Long memory relationships and the aggregation of dynamic mod.. (context) - Granger - 1980
20 Explosive Poisson shot noise processes with applications to .. (context) - Kl, Mikosch - 1995
20 Fractals and Scaling in Finance (context) - Mandelbrot - 1997
18 Stopped Random Walks (context) - Gut - 1988
12 Fractional White Noise Calculus and Applications to Finance (context) - Hu, ksendal - 1999
[Article contains additional citations not shown here]
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