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A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots

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  • Vladimir Andric
  • Sanja Nenadovic

Abstract

We derive embeddability conditions for the integrated CARMA (2, 1) stochastic process with single and double zero roots in the case of stock variables.

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  • Vladimir Andric & Sanja Nenadovic, 2024. "A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(4), pages 660-668, July.
    • Handle: RePEc:bla:jtsera:v:45:y:2024:i:4:p:660-668
    DOI: 10.1111/jtsa.12730
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    References listed on IDEAS

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    1. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
    2. Thornton, Michael A. & Chambers, Marcus J., 2017. "Continuous time ARMA processes: Discrete time representation and likelihood evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
    3. Peter J. Brockwell & Alexander Lindner, 2019. "Sampling, Embedding and Inference for CARMA Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(2), pages 163-181, March.
    4. 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.
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    6. Michael A. Thornton & Marcus J. Chambers, 2013. "Continuous-time autoregressive moving average processes in discrete time: representation and embeddability," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 552-561, September.
    7. K. S. Chan & H. Tong, 1987. "A Note On Embedding A Discrete Parameter Arma Model In A Continuous Parameter Arma Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(3), pages 277-281, May.
    8. Chambers, Marcus J. & Thornton, Michael A., 2012. "Discrete Time Representation Of Continuous Time Arma Processes," Econometric Theory, Cambridge University Press, vol. 28(1), pages 219-238, February.
    9. Bergstrom, Albert Rex, 1983. "Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models," Econometrica, Econometric Society, vol. 51(1), pages 117-152, January.
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