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

DOI10.1080/03610918.2022.2057543MaRDI QIDQ6562734zbMATH OpenFDO

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

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

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