56 citations · 92 across the 18 of their papers we have counts for
3 papers · 2 filters
On limit theory for functionals of stationary increments Levy driven moving averages
Andreas Basse-O'Connor, Claudio Heinrich, Mark Podolskij
In this paper we obtain new limit theorems for variational functionals of high frequency observations of stationary increments Lévy driven moving averages. We will see that the asy…
Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions
Andreas Basse-O'Connor, Thorbjørn Grønbæk, Mark Podolskij
In this work we characterize the local asymptotic self-similarity of harmonizable fractional Lévy motions in the heavy tailed case. The corresponding tangent process is shown to be…
Multivariate stochastic delay differential equations and CAR representations of CARMA processes
Andreas Basse-O'Connor, Mikkel Slot Nielsen, Jan Pedersen +1
In this study we show how to represent a continuous time autoregressive moving average (CARMA) as a higher order stochastic delay differential equation, which may be thought of as…