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Dependence Estimation for High-frequency Sampled Multivariate CARMA Models

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  • Vicky Fasen

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  • 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
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    References listed on IDEAS

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    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.
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    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.

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