Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model
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Publication:5408479
DOI10.1051/ps/2011158zbMath1311.60023OpenAlexW2164593598MaRDI QIDQ5408479
Publication date: 10 April 2014
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/ps/2011158
mixingstochastic volatility modelmixed moving average processinfinitely divisible processcodifferencesupOU process
Infinitely divisible distributions; stable distributions (60E07) Statistical methods; risk measures (91G70) Stationary stochastic processes (60G10) One-parameter continuous families of measure-preserving transformations (28D10)
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