A Note on Non-Negative Continuous Time Processes

DOI10.1111/J.1467-9868.2005.00517.XMaRDI QIDQ5473056zbMATH OpenOpenAlexFDO

Authors Henghsiu Tsai, Kung-Sik Chan

Publication date 19 June 2006

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9868.2005.00517.x

zbMATH Keywords

complete monotonicitycontinuous time autoregressive moving average processLaplace transformLévy processstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
• Completely monotonic rational functions and Hall's marriage theorem
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Lévy-driven CARMA processes
• Long memory in continuous-time stochastic volatility models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Representations of continuous-time ARMA processes

Cited in

(13)

• Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
• On nonnegative solutions of SDDEs with an application to CARMA processes
• On non-negative modeling with CARMA processes
• Integration of CARMA processes and spot volatility modelling
• Recent results in the theory and applications of CARMA processes
• A note on general sliding window processes
• Estimation for non-negative Lévy-driven CARMA processes
• On the exponential process associated with a CARMA-type process
• A Note on Non‐Negative Arma Processes
• Vector Stochastic Processes with Pólya‐Type Correlation Structure
• Distributional properties of continuous time processes: from CIR to bates
• Multivariate continuous-time autoregressive moving-average processes on cones
• Continuous-time GARCH processes

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