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

dc.creator	Stojanović, Vladica
dc.creator	Kevkić, Tijana
dc.creator	Vujaković, Jelena
dc.creator	Jelić, Gordana
dc.creator	Pažun, Brankica
dc.date.accessioned	2024-03-04T10:29:31Z
dc.date.available	2024-03-04T10:29:31Z
dc.date.issued	2021
dc.identifier.issn	1223-7027
dc.identifier.issn	2286-3672 (online)
dc.identifier.uri	https://jakov.kpu.edu.rs/handle/123456789/1670
dc.description.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.	sr
dc.language.iso	en	sr
dc.publisher	Bucharest : University Politehnica	sr
dc.rights	restrictedAccess	sr
dc.source	U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics	sr
dc.subject	Mellin transforms	sr
dc.subject	SV models	sr
dc.subject	approximation	sr
dc.subject	Gaussian probability distribution	sr
dc.title	Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models	sr
dc.type	article	sr
dc.rights.license	ARR	sr
dc.citation.volume	83
dc.citation.issue	1
dc.citation.spage	169
dc.citation.epage	178
dc.identifier.rcub	https://hdl.handle.net/21.15107/rcub_jakov_1670
dc.type.version	publishedVersion	sr