A Bayesian paradigm in a large class of Lévy-driven CARMA models for high frequency data

DOI10.1080/03610918.2022.2057543MaRDI QIDQ6562734FDOQ6562734

Authors: Ali Sharifi, Ali Reza Taheriyoun, Hamideh D. Hamedani 

Publication date: 27 June 2024

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The pricing of options and corporate liabilities
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• Lévy-driven CARMA processes
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• Continuous-time ARMA processes
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Representations of continuous-time ARMA processes
• Estimation for non-negative Lévy-driven CARMA processes
• The Elementary Gaussian Processes
• Asymptotic properties of discrete Fourier transforms for spatial data
• Recent results in the theory and applications of CARMA processes
• Prediction of Lévy-driven CARMA processes
• Some computational aspects of Gaussian CARMA modelling
• Limit behaviour of the truncated pathwise Fourier-transformation of Lévy-driven CARMA processes for non-equidistant discrete time observations

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