High-frequency sampling of a continuous-time ARMA process

DOI10.1111/J.1467-9892.2011.00748.XzbMATH Open1300.62070arXiv1104.0554OpenAlexW3121583852MaRDI QIDQ2930909FDOQ2930909

Authors: Vincenzo Ferrazzano, Claudia Klüppelberg, Peter J. Brockwell 

Publication date: 20 November 2014

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

Abstract: Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modeling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form $Y_{nDelta},n=0,1,2,\mathrm{...}$, where $Delta$ is small and positive. Such data occur in many fields of application, particularly in finance and the study of turbulence. This paper is concerned with the characteristics of the process $$, when $Delta$ is small and the underlying continuous-time process $$ is a specified CARMA process.

Full work available at URL: https://arxiv.org/abs/1104.0554

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zbMATH Keywords

high-frequency dataCARMA processdiscretely sampled process

Mathematics Subject Classification ID

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

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Lévy-driven CARMA processes
• Do price and volatility jump together?
• A survey of spectral factorization methods
• Multivariate CARMA processes
• Estimation for non-negative Lévy-driven CARMA processes
• The Elementary Gaussian Processes
• Title not available (Why is that?)
• Continuous-time GARCH processes
• An Exponential Continuous-Time GARCH Process

Cited In (14)

• High-frequency sampling and kernel estimation for continuous-time moving average processes
• Sampling, embedding and inference for CARMA processes
• On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
• Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
• Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
• Frequency-domain identification of continuous-time ARMA models from sampled data
• Modelling and Prediction of Financial Time Series
• A Sampling Theory Approach for Continuous ARMA Identification
• Prediction of Lévy-driven CARMA processes
• Gamma kernels and BSS/LSS processes
• Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
• Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
• Forecasting continuous-time processes with applications to signal extraction
• Bootstrapping continuous-time autoregressive processes

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