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ChapterLévy–Driven Continuous–Time ARMA Processes

Peter J. Brockwell2009

Chapter2009

Lévy–Driven Continuous–Time ARMA Processes

Peter J. Brockwell

45 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

2005Stochastic Integration and Differential Equations 1987The Pricing of Options on Assets with Stochastic Volatilities 2004Lévy Processes and Stochastic Calculus 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1987The Pricing of Options on Assets with Stochastic Volatilities 2009Handbook of Financial Time Series 1999Term Structure Models Driven by General Lévy Processes 2004A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

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2011Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model 2013Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes 2009Continuous Time Approximations to GARCH and Stochastic Volatility Models

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations45

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-71297-8_20

openalex_workW91949778

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