Integration of CARMA processes and spot volatility modelling
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Publication:2852488
DOI10.1111/jtsa.12011zbMath1274.62579OpenAlexW1854900910MaRDI QIDQ2852488
Alexander M. Lindner, Peter J. Brockwell
Publication date: 9 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12011
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Statistical methods; economic indices and measures (91B82)
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