• Mathematics
  • Published 2014

Fractionally integrated processes of Ornstein-Uhlenbeck type

@inproceedings{Serrano2014FractionallyIP,
  title={Fractionally integrated processes of Ornstein-Uhlenbeck type},
  author={Luis Hilmar Valdivieso Serrano},
  year={2014}
}
An estimation methodology to deal with fractionally integrated processes of Ornstein- Uhlenbeck type is proposed. The methodology is based on the continuous Whittle contrast. A simulation study is performed by driving this process with a symmetric CGMY background Levy process. 

Citations

Publications citing this paper.

The Fast Iterated Bootstrap by Russell Davidson

VIEW 12 EXCERPTS
CITES METHODS & BACKGROUND
HIGHLY INFLUENCED