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math.PR2018
On generalized ARCH model with stationary liquidity
Pauliina Ilmonen, Soledad Torres, Ciprian Tudor +2
We study a generalized ARCH model with liquidity given by a general stationary process. We provide minimal assumptions that ensure the existence and uniqueness of the stationary so…
math.PR2018
Note on AR(1)-characterisation of stationary processes and model fitting
Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen
It was recently proved that any strictly stationary stochastic process can be viewed as an autoregressive process of order one with coloured noise. Furthermore, it was proved that,…