2008
DOI: 10.1017/s0001867800002998
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Multifractality of products of geometric Ornstein-Uhlenbeck-type processes

Abstract: We investigate the properties of multifractal products of geometric Ornstein-Uhlenbeck (OU) processes driven by Lévy motion. The conditions on the mean, variance, and covariance functions of the resulting cumulative processes are interpreted in terms of the moment generating functions. We consider five cases of infinitely divisible distributions for the background driving Lévy processes, namely, the gamma and variance gamma distributions, the inverse Gaussian and normal inverse Gaussian distributions, and the … Show more

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Cited by 3 publications
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