Stationary infinitely divisible processes
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- SUBORDINATION OF STATIONARY PROCESSES
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- How rich is the class of processes which are infinitely divisible with respect to time?
- scientific article; zbMATH DE number 2063861
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- scientific article; zbMATH DE number 2063861 (Why is no real title available?)
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- A New Type of Discrete Self-Decomposability and Its Application to Continuous-Time Markov Processes for Modeling Count Data Time Series
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A change of variable formula with Itô correction term
- A class of multivariate infinitely divisible distributions related to arcsine density
- Ambit processes and stochastic partial differential equations
- Ambit processes; with applications to turbulence and tumour growth
- Asymptotic properties of realized power variations and related functionals of semimartingales
- BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
- Brownian semistationary processes and volatility/intermittency
- Change of time and change of measure
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Existence and uniqueness of stationary Lévy-driven CARMA processes
- Gaussian moving averages and semimartingales
- General \(\Upsilon\)-transformations
- Generalized gamma convolutions and related classes of distributions and densities
- Infinite divisibility for stochastic processes and time change
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
- Lévy driven moving averages and semimartingales
- Lévy-based spatial-temporal modelling, with applications to turbulence
- Lévy-driven CARMA processes
- Matrix Subordinators and Related Upsilon Transformations
- Meta-times and extended subordination
- Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model
- Modelling electricity futures by ambit fields
- Multipower variation for Brownian semistationary processes
- Multivariate CARMA processes
- Multivariate supOU processes
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On the structure of stationary stable processes
- Processes of normal inverse Gaussian type
- Quasi Ornstein-Uhlenbeck processes
- Realized power variation and stochastic volatility models
- Representation of Gaussian semimartingales with applications to the covariance function
- Representations of Urbanik's classes and multiparameter Ornstein-Uhlenbeck processes
- Representations of continuous-time ARMA processes
- Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
- Spectral representation of Gaussian semimartingales
- Spectral representations of infinitely divisible processes
- Stationary and self-similar processes driven by Lévy processes
- Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
- Stochastic integration on the real line
- Superposition of Ornstein-Uhlenbeck type processes
- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
- The multivariate supOU stochastic volatility model
- Transformations of infinitely divisible distributions via improper stochastic integrals
- Volatility determination in an ambit process setting
Cited in
(27)- Meta-times and extended subordination
- Regularity of infinitely divisible processes
- Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
- How rich is the class of processes which are infinitely divisible with respect to time?
- Limit theorems for integrated trawl processes with symmetric Lévy bases
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Incremental Similarity and Turbulence
- Invertibility of infinitely divisible continuous-time moving average processes
- SUBORDINATION OF STATIONARY PROCESSES
- Stationary and multi-self-similar random fields with stochastic volatility
- Limit theorems for trawl processes
- Intermittency of trawl processes
- An inverse problem for infinitely divisible moving average random fields
- Periodic trawl processes: simulation, statistical inference and applications in energy markets
- Integer-valued trawl processes: a class of stationary infinitely divisible processes
- Likelihood Inference for Exponential-Trawl Processes
- An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market
- Some recent developments in ambit stochastics
- scientific article; zbMATH DE number 1501831 (Why is no real title available?)
- Inference and forecasting for continuous-time integer-valued trawl processes
- Metatimes, random measures and cylindrical random variables
- On a linear functional for infinitely divisible moving average random fields
- Infinitely divisible OS-positive processes
- A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
- Modeling, simulation and inference for multivariate time series of counts using trawl processes
- Characterization of the finite variation property for a class of stationary increment infinitely divisible processes
- Selfdecomposable fields
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