Free Access
Issue
ESAIM: PS
Volume 17, 2013
Page(s) 455 - 471
DOI https://doi.org/10.1051/ps/2011158
Published online 03 June 2013
  1. R.B. Ash and M.F. Gardner, Topics in Stochastic Processes, Prob. Math. Stat., vol. 27. Academic Press, New York (1975). [Google Scholar]
  2. O.E. Barndorff-Nielsen, Superposition of Ornstein-Uhlenbeck type processes. Teor. Veroyatnost. i Primenen. 45 (2000) 289–311. [CrossRef] [Google Scholar]
  3. O.E. Barndorff-Nielsen and N. Shephard, Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. J. R. Stat. Soc. Ser. B Stat. Methodol. 63 (2001) 167–241. [CrossRef] [MathSciNet] [Google Scholar]
  4. O.E. Barndorff-Nielsen and R. Stelzer, Multivariate supOU processes. Ann. Appl. Probab. 21 (2011) 140–182. [CrossRef] [MathSciNet] [PubMed] [Google Scholar]
  5. O.E. Barndorff-Nielsen and R. Stelzer, The multivariate supOU stochastic volatility model. Math. Finance 23 (2013) 275–296. [CrossRef] [Google Scholar]
  6. C. Bender, A. Lindner and M. Schicks, Finite variation of fractional Lévy processes. J. Theor. Probab. 25 (2012) 595–612. [CrossRef] [Google Scholar]
  7. P.J. Brockwell, Lévy-driven continuous-time ARMA processes, in Handbook of Financial Time Series, edited by T.G. Andersen, R. Davis, J.-P. Kreiß and T. Mikosch. Springer, Berlin (2009) 457–480. [Google Scholar]
  8. S. Cambanis, K. Podgórski and A. Weron, Chaotic behavior of infinitely divisible processes. Stud. Math. 115 (1995) 109–127. [Google Scholar]
  9. R. Cont and P. Tankov, Financial Modelling with Jump Processes. CRC Financial Mathematics Series. Chapman & Hall, London (2004). [Google Scholar]
  10. I.P. Cornfeld, S.V. Fomin and Y.G. Sinaǐ, Ergodic Theory, Grundlehren der mathematischen Wissenschaften, vol. 245. Springer-Verlag, New York (1982). [Google Scholar]
  11. V. Fasen and C. Klüppelberg, Extremes of supOU processes, in Stochastic Analysis and Applications: The Abel Symposium 2005, Abel Symposia, vol. 2, edited by F.E. Benth, G. Di Nunno, T. Lindstrom, B. Øksendal and T. Zhang. Springer, Berlin (2007) 340–359. [Google Scholar]
  12. D.M. Guillaume, M.M. Dacorogna, R.R. Davé, U.A. Müller, R.B. Olsen and O.V. Pictet, From the bird’s eye to the microscope: a survey of new stylized facts of the intra-daily foreign exchange markets. Finance Stoch. 1 (1997) 95–129. [CrossRef] [Google Scholar]
  13. L.P. Hansen, Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029–1054. [CrossRef] [MathSciNet] [PubMed] [Google Scholar]
  14. U. Krengel, Ergodic Theorems, de Gruyter Studies in Mathematics, vol. 6. Walter de Gruyter, Berlin (1985). [Google Scholar]
  15. M. Magdziarz, A note on Maruyama’s mixing theorem. Theory Probab. Appl. 54 (2010) 322–324. [CrossRef] [MathSciNet] [Google Scholar]
  16. T. Marquardt, Fractional Lévy processes with an application to long memory moving average processes. Bernoulli 12 (2006) 1099–1126. [CrossRef] [MathSciNet] [Google Scholar]
  17. T. Marquardt and R. Stelzer, Multivariate CARMA processes. Stoc. Proc. Appl. 117 (2007) 96–120. [CrossRef] [Google Scholar]
  18. G. Maruyama, Infinitely divisible processes. Theory Probab. Appl. 15 (1970) 1–22. [CrossRef] [Google Scholar]
  19. J. Pedersen, The Lévy-Itô decomposition of an independently scattered random measure. MaPhySto research report 2, MaPhySto and University of ?rhus. Available from http://www.maphysto.dk (2003). [Google Scholar]
  20. K. Petersen, Ergodic Theory, Cambridge Studies in Advanced Mathematics, vol. 2. Cambridge University Press, Cambridge, UK (1983). [Google Scholar]
  21. C. Pigorsch and R. Stelzer, A Multivariate Ornstein-Uhlenbeck Type Stochastic Volatility Model. Available from http://www.uni-ulm.de/mawi/finmath.html (2009). [Google Scholar]
  22. B.S. Rajput and J. Rosiński, Spectral representations of infinitely divisible processes. Probab. Theory Relat. Fields 82 (1989) 451–487. [CrossRef] [MathSciNet] [Google Scholar]
  23. J. Rosiński and T. Żak, Simple conditions for mixing of infinitely divisible processes. Stoch. Proc. Appl. 61 (1996) 277–288. [CrossRef] [Google Scholar]
  24. J. Rosiński and T. Żak, The equivalence of ergodicity and weak mixing for infinitely divisible processes. J. Theor. Probab. 10 (1997) 73–86. [CrossRef] [Google Scholar]
  25. K. Sato, Lévy Processes and Infinitely Divisible Distributions, Cambridge Studies in Advanced Mathematics, vol. 68. Cambridge University Press, Cambridge, UK (1999). [Google Scholar]
  26. D. Surgailis, J. Rosiński, V. Mandrekar and S. Cambanis, Stable mixed moving averages. Probab. Theory Relat. Fields 97 (1993) 543–558. [CrossRef] [Google Scholar]
  27. T. Tosstorff and R. Stelzer, Moment based estimation of supOU processes and a related stochastic volatility model. In preparation (2011). [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.