TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS

DOI10.1017/S0266466612000217zbMath1261.91039MaRDI QIDQ4917229

Vicky Fasen

Publication date: 29 April 2013

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (6)

A pairs trading strategy based on linear state space models and the Kalman filter ⋮ Limit Theory for High Frequency Sampled MCARMA Models ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

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