97 citations · 97 across the 3 of their papers we have counts for
3 papers
math.PR2012
Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
Vincenzo Ferrazzano, Florian Fuchs
We consider high-frequency sampled continuous-time autoregressive moving average (CARMA) models driven by finite-variance zero-mean Lévy processes. An L^2-consistent estimator for…
math.PR2011★ 97 cited
Stationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models
Farid Boussama, Florian Fuchs, Robert Stelzer
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH process…
math.PR2011
Spectral Representation of Multivariate Regularly Varying Lévy and CARMA processes
Florian Fuchs, Robert Stelzer
A spectral representation for regularly varying Lévy processes with index between one and two is established and the properties of the resulting random noise are discussed in detai…