Heyde C.C.

C.C. Heyde

Information about the author C.C. Heyde will soon be added to the site.
Found 6 papers in total
On changes of measure in stochastic volatility models
On changes of measure in stochastic volatility models
2006
Pricing in mathematical finance often involves taking expected values under different...
On the controversy over tailweight of distributions
On the controversy over tailweight of distributions
2004
Although understanding tail behavior of distributions is important in many areas, such...
A note on filtering for long memory processes
A note on filtering for long memory processes
2001
This paper illustrates the use of quasilikelihood methods of inference for a class of...
On defining long-range dependence
On defining long-range dependence
1997
Long-range dependence has usually been defined in terms of covariance properties...
Ito’s formula with respect to fractional Brownian motion and its application
Ito’s formula with respect to fractional Brownian motion and its application
1996
Fractional Brownian motion (FBM) with Hurst index 1/2< H<1 is not a...
Estimating population size from multiple recapture experiments
Estimating population size from multiple recapture experiments
1990
The size of a closed population is to be estimated using data from a multiple...
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