Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model

11 references·4 citing·40 second hop

FromToDepth

this work references cited by second hop

References

2003Financial Modelling with Jump Processes3,217 cited
2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
2006Fractional Lévy processes with an application to long memory moving average processes140 cited
2006Multivariate CARMA processes95 cited
2010Multivariate supOU processes79 cited
2009THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL67 cited
2009Lévy–Driven Continuous–Time ARMA Processes45 cited
2007Extremes of supOU Processes39 cited
2009A multivariate Ornstein-Uhlenbeck type stochastic volatility model38 cited
2010Finite variation of fractional Levy processes37 cited

Cited by

2014Integer‐valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes34 cited
2015Integrability conditions for space–time stochastic integrals: Theory and applications26 cited
2018Modeling, simulation and inference for multivariate time series of counts using trawl processes19 cited
2016Continuous Time Analysis of Fleeting Discrete Price Moves

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

18 cited