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20122026
most citedModelling energy spot prices by volatility modulated Lévy-driven Volterra processes

94 citations · 133 across the 33 of their papers we have counts for

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stat.ME2020

High-frequency Estimation of the Lévy-driven Graph Ornstein-Uhlenbeck process

Valentin Courgeau, Almut E. D. Veraart

We consider the Graph Ornstein-Uhlenbeck (GrOU) process observed on a non-uniform discrete time grid and introduce discretised maximum likelihood estimators with parameters specifi…