Lévy-driven and fractionally integrated ARMA processes with continuous time parameter

By Peter J. Brockwell, T. Marquardt. 2005

133 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/fba174997c32446d61076fc261c5b8bac0f3159c

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Citations in the corpus

Fractional Lévy processes with an application to long memory moving average processes (2006, background): “Details on CARMA and FICARMA processes can be found in Brockwell (2001, 2004) and Brockwell and Marquardt (2005). Due to the slow decay of the fractionally integrated kernel gd9”
Recent results in the theory and applications of CARMA processes (2014, methodology): “Brockwell and Marquardt (2005) made the stronger assumption that the zeroes of a(z) all have strictly negative real parts, in which case Y is a causal function of L .”
Econometric analysis of jump-driven stochastic volatility models (2011, background): “Examples of such kernels were discussed in Brockwell and Marquardt (2005) .”
Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes (2005, methodology): “This can be done by considering a CARFIMA process driven by a Lévy noise process, see Brockwell and Marquardt (2005) for details.”
Multivariate supOU processes (2010, background): “Among the ones with continuous sample paths are continuous-time counterparts of ARFIMA, like FICARMA (see [13, 31, 47]), which also exhibit long memory.”
The Estimation of Leverage Effect With High-Frequency Data (2014, unknown): “A parallel development can be carried out under assumptions of fractional Brownian motion (Comte and Renault 1998; Gloter and Hoffmann 2004; Brockwell and Marquardt 2005; Nualart 2006; Comte et al. 2010).”
Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes (2007, background): “For a proof, see Brockwell and Marquardt (2005).”