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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Brockwell, P. J., Davis, R. A., Yang, Y. 
Titel:
Estimation for non-negative Lévy driven Ornstein-Uhlenbeck processes 
Abstract:
Continuous time autoregressive moving average (CARMA) processes with a non-negative kernel and driven by a non-decreasing Lévy process constitute a very general class of stationary non-negative continuous-time processes. In financial econometrics a stationary Ornstein-Uhlenbeck (or CAR(1)) process, driven by a non-decreasing Lévy process, was introduced by Barndorff-Nielsen and Shephard (2001) as a model for stochastic volatility to allow for a wide variety of possible marginal distributions...    »
 
Stichworte:
Continuous-time autoregression, Ornstein-Uhlenbeck process, Lévy process, stochastic differential equation, sampled process 
Zeitschriftentitel:
J. Appl. Probab. 
Jahr:
2007 
Band / Volume:
44 
Heft / Issue:
Seitenangaben Beitrag:
977-989 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 07 
Format:
Text