Integration of CARMA processes and spot volatility modelling

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

zbMATH Keywords

stochastic volatilityLévy processcontinuous-time ARMA processintegrated CARMA process

Mathematics Subject Classification ID

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)

Related Items (7)

A Lévy-driven rainfall model with applications to futures pricing ⋮ On non-negative modeling with CARMA processes ⋮ Semi-Lévy-driven CARMA process: estimation and prediction ⋮ Multivariate continuous-time autoregressive moving-average processes on cones ⋮ CARMA processes as solutions of integral equations ⋮ Unnamed Item ⋮ Recent results in the theory and applications of CARMA processes

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