@article{Veraart:2013:10.1080/17442508.2015.1012081,
author = {Veraart, AED},
doi = {10.1080/17442508.2015.1012081},
journal = {Stochastics},
pages = {848--870},
title = {Stationary and multi-self-similar random fields with stochastic volatility},
url = {http://dx.doi.org/10.1080/17442508.2015.1012081},
volume = {87},
year = {2013}
}

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TY  - JOUR
AB  - 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 (MA) fields and their probabilistic properties are discussed. Also, two methods for parameterizing the weightfunctions in the MA 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 generalized Lamperti transform we construct volatility modulated multi-self-similar random fields which have type G distribution.
AU  - Veraart,AED
DO  - 10.1080/17442508.2015.1012081
EP  - 870
PY  - 2013///
SN  - 0090-9491
SP  - 848
TI  - Stationary and multi-self-similar random fields with stochastic volatility
T2  - Stochastics
UR  - http://dx.doi.org/10.1080/17442508.2015.1012081
UR  - http://arxiv.org/abs/1402.2882
UR  - http://hdl.handle.net/10044/1/21696
VL  - 87
ER  - 

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