Multivariate fractionally integrated CARMA processes

DOI10.1016/j.jmva.2006.07.001zbMath1143.60032OpenAlexW2094012186MaRDI QIDQ2474239

Tina Marquardt

Publication date: 5 March 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.07.001

zbMATH Keywords

fractional integrationLévy processCARMA processfractional Lévy processFICARMA processmultivariate stochastic integral

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Generalized stochastic processes (60G20) Stochastic integrals (60H05)

Related Items (7)

Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory ⋮ On operator fractional Lévy motion: integral representations and time-reversibility ⋮ Functional regular variation of Lévy-driven multivariate mixed moving average processes ⋮ Multivariate supOU processes ⋮ Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk ⋮ Multivariate stochastic delay differential equations and CAR representations of CARMA processes ⋮ Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models

Cites Work

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