IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v43y2016i1p292-320.html
   My bibliography  Save this article

Dependence Estimation for High-frequency Sampled Multivariate CARMA Models

Author

Listed:
  • Vicky Fasen

Abstract

No abstract is available for this item.

Suggested Citation

  • Vicky Fasen, 2016. "Dependence Estimation for High-frequency Sampled Multivariate CARMA Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 292-320, March.
    • Handle: RePEc:bla:scjsta:v:43:y:2016:i:1:p:292-320
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/sjos.12180
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Todorov, Viktor, 2009. "Estimation of continuous-time stochastic volatility models with jumps using high-frequency data," Journal of Econometrics, Elsevier, vol. 148(2), pages 131-148, February.
    2. Marquardt, Tina, 2007. "Multivariate fractionally integrated CARMA processes," Journal of Multivariate Analysis, Elsevier, vol. 98(9), pages 1705-1725, October.
    3. Cavazos-Cadena, Rolando, 1994. "A simple form of Bartlett's formula for autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 221-231, February.
    4. W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
    5. Arne Andresen & Fred Espen Benth & Steen Koekebakker & Valeriy Zakamulin, 2014. "The Carma Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-27.
    6. Marquardt, Tina & Stelzer, Robert, 2007. "Multivariate CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 96-120, January.
    7. 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.
    8. Peter J. Brockwell & Vincenzo Ferrazzano & Claudia Klüppelberg, 2013. "High-frequency sampling and kernel estimation for continuous-time moving average processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 385-404, May.
    9. Su, Nan & Lund, Robert, 2012. "Multivariate versions of Bartlett’s formula," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 18-31.
    10. Ole E. Barndorff-Nielsen & Mikko S. Pakkanen & Jürgen Schmiegel, 2013. "Assessing Relative Volatility/Intermittency/Energy Dissipation," CREATES Research Papers 2013-15, Department of Economics and Business Economics, Aarhus University.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Benth, Fred Espen & Karbach, Sven, 2023. "Multivariate continuous-time autoregressive moving-average processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 299-337.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Péter Kevei, 2018. "Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(2), pages 467-487, April.
    2. Basse-O’Connor, Andreas & Nielsen, Mikkel Slot & Pedersen, Jan & Rohde, Victor, 2019. "Multivariate stochastic delay differential equations and CAR representations of CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4119-4143.
    3. 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.
    4. Fasen, Vicky & Fuchs, Florian, 2013. "On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 229-273.
    5. Vicky Fasen‐Hartmann & Sebastian Kimmig, 2020. "Robust estimation of stationary continuous‐time arma models via indirect inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 620-651, September.
    6. Benth, Fred Espen & Karbach, Sven, 2023. "Multivariate continuous-time autoregressive moving-average processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 299-337.
    7. Vicky Fasen & Florian Fuchs, 2013. "Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 532-551, September.
    8. Fasen-Hartmann, Vicky & Mayer, Celeste, 2023. "Empirical spectral processes for stationary state space models," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 319-354.
    9. Holger Fink, 2016. "Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous-Time ARMA–GARCH-Type Models with Long Memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 30-45, January.
    10. Nielsen, Mikkel Slot, 2020. "On non-stationary solutions to MSDDEs: Representations and the cointegration space," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3154-3173.
    11. 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.
    12. Vicky Fasen-Hartmann & Celeste Mayer, 2022. "Whittle estimation for continuous-time stationary state space models with finite second moments," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 233-270, April.
    13. Florian Fuchs & Robert Stelzer, 2013. "Spectral Representation of Multivariate Regularly Varying Lévy and CARMA Processes," Journal of Theoretical Probability, Springer, vol. 26(2), pages 410-436, June.
    14. Appleby, John A.D. & Patterson, Denis D., 2021. "Growth and fluctuation in perturbed nonlinear Volterra equations," Applied Mathematics and Computation, Elsevier, vol. 396(C).
    15. Eckhard Platen, 2005. "An Alternative Interest Rate Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 717-735.
    16. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
    17. Janani Sri S. & Parthajit Kayal & G. Balasubramanian, 2022. "Can Equity be Safe-haven for Investment?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(1), pages 32-63, March.
    18. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
    19. Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CARF F-Series CARF-F-168, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    20. Agbeyegbe, Terence D., 2015. "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:43:y:2016:i:1:p:292-320. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.