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ArticleImplementation of Lévy CARMA model in Yuima package

Stefano Maria Iacus2015

Article2015

Implementation of Lévy CARMA model in Yuima package

Stefano Maria Iacus · Lorenzo Mercuri

24 citations·0/0 files stored·Computational Statistics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Data Analysis with R

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References

2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1990The Variance Gamma (V.G.) Model for Share Market Returns 1992Estimation for diffusion processes from discrete observation 2001Lévy-Driven Carma Processes 2005Lévy-driven and fractionally integrated ARMA processes with continuous time parameter 2006Continuous-time GARCH processes 2007Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes 2012Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package

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2019Lévy CARMA models for shocks in mortality

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2009Lévy–Driven Continuous–Time ARMA Processeschapter · 7 shared references 2014Recent results in the theory and applications of CARMA processesarticle · 6 shared references 2010Econometric analysis of jump-driven stochastic volatility modelsarticle · 5 shared references 2012Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observationsarticle · 5 shared references 2012Integration of CARMA processes and spot volatility modellingarticle · 5 shared references 2011Subordinated α -stable Ornstein–Uhlenbeck process as a tool for financial data descriptionarticle · 4 shared references

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Year2015

Typearticle

Published2015-02-23

VenueComputational Statistics

ISSN-L0943-4062

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00180-015-0569-7

openalex_workW2041986319

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