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Estimation for Non-Negative Lévy-Driven CARMA Processes

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  • Brockwell, Peter J.
  • Davis, Richard A.
  • Yang, Yu

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  • Brockwell, Peter J. & Davis, Richard A. & Yang, Yu, 2011. "Estimation for Non-Negative Lévy-Driven CARMA Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 250-259.
  • Handle: RePEc:bes:jnlbes:v:29:i:2:y:2011:p:250-259
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    File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2010.08165
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    Cited by:

    1. Zahra Sokoot & Navideh Modarresi & Farzaneh Niknejad, 2017. "Modeling credit default swap premiums with stochastic recovery rate," Papers 1706.05703, arXiv.org.
    2. Benth, Fred Espen & Klüppelberg, Claudia & Müller, Gernot & Vos, Linda, 2014. "Futures pricing in electricity markets based on stable CARMA spot models," Energy Economics, Elsevier, vol. 44(C), pages 392-406.
    3. Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013. "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers 1307.6332, arXiv.org.
    4. Stefano Iacus & Lorenzo Mercuri, 2015. "Implementation of Lévy CARMA model in Yuima package," Computational Statistics, Springer, vol. 30(4), pages 1111-1141, December.
    5. Brockwell, Peter J. & Schlemm, Eckhard, 2013. "Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 217-251.
    6. P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.

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