Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory

DOI10.1111/jtsa.12135zbMath1335.62131OpenAlexW1504930908MaRDI QIDQ3466884

Holger Fink

Publication date: 25 January 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12135

zbMATH Keywords

long memoryforecastingfractional Lévy processesMandelbrot-Van Ness kernelFICARMAFIECOGARCH

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

Related Items (4)

Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ On fractional Lévy processes: tempering, sample path properties and stochastic integration ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations

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