Well-balanced Lévy driven Ornstein–Uhlenbeck processes

DOI10.1524/strm.2011.1089zbMath1235.60014arXiv1012.0691OpenAlexW2951195559MaRDI QIDQ3107438

Alexander Schnurr, Jeannette H. C. Woerner

Publication date: 23 December 2011

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.0691

zbMATH Keywords

Ornstein-Uhlenbeck processinfinitely divisible distributionLévy processautocorrelationsemimartingalefinancial modelling

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Financial applications of other theories (91G80)

Related Items (8)

Multivariate continuous-time autoregressive moving-average processes on cones ⋮ Statistical inference for moving‐average Lévy‐driven processes: Fourier‐based approach ⋮ Recent results in the theory and applications of CARMA processes ⋮ Low-frequency estimation of continuous-time moving average Lévy processes ⋮ Nonparametric estimation for i.i.d. Gaussian continuous time moving average models ⋮ Empirical likelihood methods for discretely observed Gaussian moving averages ⋮ Kernel estimation for Lévy driven stochastic convolutions ⋮ Aspects of non‐causal and non‐invertible CARMA processes

Cites Work

• Lévy driven moving averages and semimartingales
• Spectral representations of infinitely divisible processes
• On roughness indices for fractional fields
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Fractional Lévy processes with an application to long memory moving average processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Electricity spot price modelling with a view towards extreme spike risk

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