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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