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Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models

dc.contributor.authorStojanović, Vladica
dc.contributor.authorKevkić, Tijana
dc.contributor.authorVujaković, Jelena
dc.contributor.authorJelić, Gordana
dc.contributor.authorPažun, Brankica
dc.date.accessioned2023-03-31T10:52:00Z
dc.date.available2023-03-31T10:52:00Z
dc.identifier.urihttps://platon.pr.ac.rs/handle/123456789/1156
dc.description.abstractIn this paper, an application of the Stochastic Mellin Transforms (SMTs) in determination of the probability distribution functions (PDFs) of the Stochastic Volatility (SV) models is proposed. In that aim, three basic SV time series with Gaussian innovations have been considered, and their PDFs were obtained by using the inverse SMT formula.en_US
dc.language.isoen_USen_US
dc.publisherUNIVERSITY POLITEHNICA OF BUCHARESTen_US
dc.titleApplication of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Modelsen_US
dc.title.alternativeUNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICSen_US
dc.typeclanak-u-casopisuen_US
dc.description.versionpublishedVersionen_US
dc.citation.volume83
dc.citation.issue1
dc.subject.keywordsMellin transformsen_US
dc.subject.keywordsSV modelsen_US
dc.subject.keywordsapproximationen_US
dc.subject.keywordsGaussian probability distributionen_US
dc.type.mCategoryM23en_US
dc.type.mCategoryopenAccessen_US
dc.type.mCategoryM23en_US
dc.type.mCategoryopenAccessen_US
dc.identifier.ISSN1223-7027


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