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- W3137804328 abstract "In this paper, an approximate version of the Barndorff-Nielsen and Shephard model, driven by a Brownian motion and a L'evy subordinator, is formulated. The first-exit time of the log-return process for this model is analyzed. It is shown that with certain probability, the first-exit time process of the log-return is decomposable into the sum of the first exit time of the Brownian motion with drift, and the first exit time of a L'evy subordinator with drift. Subsequently, the probability density functions of the first exit time of some specific L'evy subordinators, connected to stationary, self-decomposable variance processes, are studied. Analytical expressions of the probability density function of the first-exit time of three such L'evy subordinators are obtained in terms of various special functions. The results are implemented to empirical S&P 500 dataset." @default.
- W3137804328 created "2021-03-29" @default.
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- W3137804328 date "2021-02-20" @default.
- W3137804328 modified "2023-10-18" @default.
- W3137804328 title "First Exit-Time Analysis for an Approximate Barndorff-Nielsen and Shephard Model with Stationary Self-Decomposable Variance Process" @default.
- W3137804328 doi "https://doi.org/10.31390/josa.2.1.05" @default.
- W3137804328 hasPublicationYear "2021" @default.
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