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Lévy–Driven Continuous–Time ARMA Processes
16 references·4 citing·42 second hop
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 2009Handbook of Financial Time Series383 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 2004A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour239 cited
  • 2001Lévy-Driven Carma Processes199 cited
  • 1992Continuous Time Econometric Modelling.165 cited
  • 2002Some recent developments in stochastic volatility modelling118 cited
  • 2005Lévy-driven and fractionally integrated ARMA processes with continuous time parameter103 cited
  • 2004Representations of continuous-time ARMA processes99 cited
  • 2006Continuous-time GARCH processes86 cited
  • 2007Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes81 cited
  • 2006

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Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models
69 cited

Cited by

  • 2011Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model35 cited
  • 2013Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes32 cited
  • 2009Continuous Time Approximations to GARCH and Stochastic Volatility Models31 cited
  • 2018Bayesian estimation of stable CARMA spot models for electricity prices23 cited