Lévy–Driven Continuous–Time ARMA Processes
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Publication:3646966
DOI10.1007/978-3-540-71297-8_20zbMath1192.62194OpenAlexW91949778MaRDI QIDQ3646966
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_20
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (15)
Unnamed Item ⋮ Likelihood theory for the graph Ornstein-Uhlenbeck process ⋮ Limit Theory for High Frequency Sampled MCARMA Models ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes ⋮ Semi-Lévy-driven CARMA process: estimation and prediction ⋮ Bootstrapping continuous-time autoregressive processes ⋮ Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes ⋮ Recent results in the theory and applications of CARMA processes ⋮ Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes ⋮ Estimation of stable CARMA models with an application to electricity spot prices ⋮ Dependence Estimation for High-frequency Sampled Multivariate CARMA Models ⋮ Some computational aspects of Gaussian CARMA modelling ⋮ High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process ⋮ Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
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