Multivariate fractionally integrated CARMA processes

DOI10.1016/J.JMVA.2006.07.001zbMATH Open1143.60032OpenAlexW2094012186MaRDI QIDQ2474239FDOQ2474239

Authors: Tina Marquardt 

Publication date: 5 March 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.07.001

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zbMATH Keywords

fractional integrationCARMA processFICARMA processmultivariate stochastic integralLévy processfractional Lévy process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Generalized stochastic processes (60G20) Stochastic integrals (60H05)

Cites Work

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• A NOTE ON THE EMBEDDING OF DISCRETE‐TIME ARMA PROCESSES
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Cited In (12)

• Integration of CARMA processes and spot volatility modelling
• Conditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• On operator fractional Lévy motion: integral representations and time-reversibility
• Factorization and discrete-time representation of multi-variate CARMA processes
• Functional regular variation of Lévy-driven multivariate mixed moving average processes
• Mixed orthogonality graphs for continuous-time stationary processes
• Multivariate CARMA processes
• Multivariate supOU processes
• Multivariate stochastic delay differential equations and CAR representations of CARMA processes
• Spectral representation of multivariate regularly varying Lévy and CARMA processes
• Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models

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