Integration of CARMA processes and spot volatility modelling

DOI10.1111/JTSA.12011MaRDI QIDQ2852488zbMATH OpenOpenAlexFDO

Authors Alexander Lindner, Peter J. Brockwell

Publication date 9 October 2013

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

Full work available at URL https://doi.org/10.1111/jtsa.12011

zbMATH Keywords

continuous-time ARMA processintegrated CARMA processLévy processstochastic volatility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

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Cites work

• A Note on Non-Negative Continuous Time Processes
• A Tale of Two Time Scales
• Bootstrapping Realized Volatility
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric analysis of jump-driven stochastic volatility models
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Estimation for non-negative Lévy-driven CARMA processes
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• Lévy-driven CARMA processes
• Microstructure noise in the continuous case: the pre-averaging approach
• Modeling and Forecasting Realized Volatility
• Multivariate CARMA processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Realized Volatility
• Representations of continuous-time ARMA processes
• The Distribution of Realized Exchange Rate Volatility
• The econometrics of high-frequency data
• Time series: theory and methods.

Cited in

(16)

• A Lévy-driven rainfall model with applications to futures pricing
• On non-negative modeling with CARMA processes
• Lévy–Driven Continuous–Time ARMA Processes
• ARMA representation of integrated and realized variances
• Recent results in the theory and applications of CARMA processes
• scientific article; zbMATH DE number 7387569 (Why is no real title available?)
• Finite mixture approximation of CARMA(p,q) models
• Model verification for Lévy-driven CARMA(2,1) processes
• Estimation of stable CARMA models with an application to electricity spot prices
• Estimation for non-negative Lévy-driven CARMA processes
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
• A Note on Non-Negative Continuous Time Processes
• Semi-Lévy-driven CARMA process: estimation and prediction
• Multivariate continuous-time autoregressive moving-average processes on cones
• Ornstein–Uhlenbeck processes in Hilbert space and autoregressive moving-average time series
• CARMA processes as solutions of integral equations

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