TY  - JOUR
AU  - Stojanović, Vladica
AU  - Kevkić, Tijana
AU  - Vujaković, Jelena
AU  - Jelić, Gordana
AU  - Pažun, Brankica
PY  - 2021
UR  - https://jakov.kpu.edu.rs/handle/123456789/1670
AB  - In 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.
PB  - Bucharest : University Politehnica
T2  - U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics
T1  - Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models
VL  - 83
IS  - 1
SP  - 169
EP  - 178
UR  - https://hdl.handle.net/21.15107/rcub_jakov_1670
ER  - 

@article{
author = "Stojanović, Vladica and Kevkić, Tijana and Vujaković, Jelena and Jelić, Gordana and Pažun, Brankica",
year = "2021",
abstract = "In 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.",
publisher = "Bucharest : University Politehnica",
journal = "U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics",
title = "Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models",
volume = "83",
number = "1",
pages = "169-178",
url = "https://hdl.handle.net/21.15107/rcub_jakov_1670"
}

Stojanović, V., Kevkić, T., Vujaković, J., Jelić, G.,& Pažun, B.. (2021). Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models. in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics
Bucharest : University Politehnica., 83(1), 169-178.
https://hdl.handle.net/21.15107/rcub_jakov_1670

Stojanović V, Kevkić T, Vujaković J, Jelić G, Pažun B. Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models. in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics. 2021;83(1):169-178.
https://hdl.handle.net/21.15107/rcub_jakov_1670 .

Stojanović, Vladica, Kevkić, Tijana, Vujaković, Jelena, Jelić, Gordana, Pažun, Brankica, "Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models" in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics, 83, no. 1 (2021):169-178,
https://hdl.handle.net/21.15107/rcub_jakov_1670 .