Representations of continuous-time ARMA processes

DOI10.1239/jap/1082552212zbMath1052.60024OpenAlexW2055768229MaRDI QIDQ4822474

Peter J. Brockwell

Publication date: 25 October 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1082552212

zbMATH Keywords

stochastic volatilityfractional integrationlong memoryLévy processcontinuous-time ARMA process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10)

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Cites Work

• Unnamed Item
• Time series: theory and methods.
• Long memory continuous time models
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Dynamic models of long-memory processes driven by Lévy noise
• Lévy-driven CARMA processes

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