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math.ST2020
Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes
Phillip Murray, Riccardo Passeggeri, Almut E. D. Veraart +1
This article studies the finite sample behaviour of a number of estimators for the integrated power volatility process of a Brownian semistationary process in the non semi-martinga…
math.ST2020
Likelihood theory for the Graph Ornstein-Uhlenbeck process
Valentin Courgeau, Almut E. D. Veraart
We consider the problem of modelling restricted interactions between continuously-observed time series as given by a known static graph (or network) structure. For this purpose, we…