Advanced search
Publication Cover
Communications in Statistics - Simulation and Computation Volume 53, 2024 - Issue 4
Submit an article Journal homepage
93
Views
0
CrossRef citations to date
0
Altmetric
Article

A Bayesian paradigm in a large class of Lévy-driven CARMA models for high frequency data

Ali SharifiDepartment of Statistics, Faculty of Mathematical Sciences, Shahid Beheshti University, Tehran, Iran
,
Ali R. TaheriyounDepartment of Statistics, Faculty of Mathematical Sciences, Shahid Beheshti University, Tehran, IranCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-2282-7741
ORCID Icon &
Hamideh D. HamedaniDepartment of Statistics, Faculty of Mathematical Sciences, Shahid Beheshti University, Tehran, Iran
Pages 1824-1836 | Received 23 Jun 2021, Accepted 18 Mar 2022, Published online: 04 Apr 2022

References

  • Bandyopadhyay, S, and S. N. Lahiri. 2009. Asymptotic properties of discrete Fourier transforms for spatial data. Sankhyā 71 (2, Ser. A):221–59.
  • Barndorff-Nielsen, O. E. 1997. Normal inverse Gaussian distributions and stochastic volatility modelling. Scandinavian Journal of Statistics 24 (1):1–13.
  • Black, F, and M. Scholes. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81 (3):637–54.
  • Brockwell, P. J. 2001a. Continuous-time ARMA processes. In Stochastic processes: Theory and methods, Volume 19 of Handbook of Statist., 249–76. North-Holland: Amsterdam.
  • Brockwell, P. J. 2001b. Lévy-driven CARMA processes. Annals of the Institute of Statistical Mathematics 53 (1):113–24.
  • Brockwell, P. J. 2004. Representations of continuous-time ARMA processes. Journal of Applied Probability. 41A:375–82.
  • Brockwell, P. J. 2014. Recent results in the theory and applications of CARMA processes. Annals of the Institute of Statistical Mathematics 66 (4):647–85.
  • Brockwell, P. J., R. A. Davis, and Y. Yang. 2007. Continuous-time Gaussian autoregression. Statistica Sinica 17 (1):63–80.
  • Brockwell, P. J., R. A. Davis, and Y. Yang. 2011. Estimation for non-negative Lévy-driven CARMA processes. Journal of Business & Economic Statistics 29 (2):250–9.
  • Brockwell, P. J, and A. Lindner. 2015. Prediction of Lévy-driven CARMA processes. Journal of Econometrics 189 (2):263–71.
  • Doob, J. L. 1944. The elementary Gaussian processes. Annals of Mathematical Statistics 15:229–82.
  • Doob, J. L. 1953. Stochastic processes. New York: John Wiley & Sons, Inc.
  • Fechner, Z, and R. Stelzer. 2018. Limit behaviour of the truncated pathwise Fourier-transformation of Lévy-driven CARMA processes for non-equidistant discrete time observations. Statistica Sinica 28 (3):1633–50.
  • Hodges, S. 2001. Discussion on the paper by barndorff-nielsen and shephard. Journal of the Royal Statistical Society. Series B: Statistical Methodology 63 (2):208–41.
  • Liu, W., D. Wan, and W. Chen. 2019. A closed-form quasi-maximum likelihood estimator of bid-ask spread. Communications in Statistics - Simulation and Computation:1–14.
  • Merton, R. C. 1973. Theory of rational option pricing. The Bell Journal of Economics and Management Science 4:141–83.
  • Priestley, M. B. 1981. Spectral analysis and time series. Vol. 1. Probability and Mathematical Statistics. London-New York: Academic Press, Inc. [Harcourt Brace Jovanovich, Publishers], Univariate series.
  • Roll, R. 1984. A simple implicit measure of the effective bid-ask spread in an efficient market. The Journal of Finance 39 (4):1127–39.
  • Todorov, V, and G. Tauchen. 2006. Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models. Journal of Business & Economic Statistics 24 (4):455–69.
  • Tómasson, H. 2015. Some computational aspects of Gaussian CARMA modelling. Statistics and Computing (2):375–87.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.