Superposition of Ornstein--Uhlenbeck Type Processes
From MaRDI portal
Publication:2752947
DOI10.1137/S0040585X97978166zbMath1003.60039OpenAlexW1973380699WikidataQ105387335 ScholiaQ105387335MaRDI QIDQ2752947
Publication date: 22 October 2001
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x97978166
Stationary stochastic processes (60G10) Diffusion processes (60J60) Random measures (60G57) Self-similar stochastic processes (60G18)
Related Items (79)
Monitoring parameter change for time series models with application to location-Scale heteroscedastic models ⋮ Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility ⋮ A Lévy-driven rainfall model with applications to futures pricing ⋮ Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes ⋮ INTERMITTENCY AND MULTISCALING IN LIMIT THEOREMS ⋮ Out of sample forecasts of quadratic variation ⋮ CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type ⋮ On infinitely divisible semimartingales ⋮ Intermittency of trawl processes ⋮ Multifractal scenarios for products of geometric Lévy-based stationary models ⋮ Long-memory continuous-time correlation models ⋮ Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes ⋮ Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes ⋮ Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type ⋮ Volterra-type Ornstein-Uhlenbeck processes in space and time ⋮ Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models ⋮ Linnik processes ⋮ Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing ⋮ Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes ⋮ Functional regular variation of Lévy-driven multivariate mixed moving average processes ⋮ Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index ⋮ Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes ⋮ Integrability conditions for space-time stochastic integrals: theory and applications ⋮ Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters ⋮ The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes ⋮ Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option ⋮ Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process ⋮ Extremes of Lévy driven mixed MA processes with convolution equivalent distributions ⋮ Multivariate supOU processes ⋮ Asymptotic behavior of weakly dependent aggregated processes ⋮ Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes ⋮ A class of non-Gaussian second order random fields ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes ⋮ Quasi Ornstein-Uhlenbeck processes ⋮ The multifaceted behavior of integrated supOU processes: the infinite variance case ⋮ Stationary infinitely divisible processes ⋮ Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes ⋮ Weak dependence and GMM estimation of supOU and mixed moving average processes ⋮ Student processes ⋮ Moments of the asset price for the Barndorff-Nielsen and Shephard model ⋮ Burgers' turbulence problem with linear or quadratic external potential ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance ⋮ A generalized hyperbolic model for a risky asset with dependence ⋮ Intermittency of superpositions of Ornstein-Uhlenbeck type processes ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches ⋮ Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures ⋮ On the exponential process associated with a CARMA-type process ⋮ Selfdecomposable fields ⋮ THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL ⋮ Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution ⋮ Superposition of COGARCH processes ⋮ Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models ⋮ Orthogonal series density estimation in a disaggregation scheme ⋮ Generalized fractional Lévy processes with fractional Brownian motion limit ⋮ The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference ⋮ Ornstein-Uhlenbeck processes for geophysical data analysis ⋮ Multifractality of products of geometric Ornstein-Uhlenbeck-type processes ⋮ Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes ⋮ Continuous-time GARCH processes ⋮ A generalized Goodwin business cycle model in random environment ⋮ Efficient simulation of Lévy-driven point processes ⋮ Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion ⋮ Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model ⋮ Intermittency and infinite variance: the case of integrated supou processes ⋮ The moduli of non-differentiability for Gaussian random fields with stationary increments ⋮ Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling ⋮ Superposition of Diffusions with Linear Generator and its Multifractal Limit Process ⋮ Multifractal Products of Stationary Diffusion Processes ⋮ Extremes of regularly varying Lévy-driven mixed moving average processes ⋮ Limit Theorems for Aggregated Linear Processes ⋮ Probability-conservative simulation for \textit{Lévy} financial model by a mixed finite element method ⋮ Sums of independent Poisson subordinators and their connection with strictly \(\alpha \)-stable processes of Ornstein-Uhlenbeck type ⋮ Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models ⋮ Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection ⋮ Cox point processes driven by Ornstein-Uhlenbeck type processes ⋮ Valuation of an option using non-parametric methods ⋮ A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations ⋮ Spectral properties of superpositions of Ornstein-Uhlenbeck type processes ⋮ Stochastic calculus for assets with non-Gaussian price fluctuations
This page was built for publication: Superposition of Ornstein--Uhlenbeck Type Processes
