Gamma Kernels and BSS/LSS Processes

DOI10.1007/978-3-319-45875-5_2zbMath1369.60039OpenAlexW2557670741MaRDI QIDQ4976493

Ole Eiler Barndorff-Nielsen

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_2

zbMATH Keywords

Lévy processesgamma kernelsGreen's functionBrownian motionstochastic integralsvolatilityeconometricsambit stochasticssemistationary processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Stationary stochastic processes (60G10) Brownian motion (60J65) Stochastic integrals (60H05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (3)

A central limit theorem for the realised covariation of a bivariate Brownian semistationary process ⋮ The local fractional bootstrap ⋮ On fractional Lévy processes: tempering, sample path properties and stochastic integration

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