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Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration
Fasen, Vicky - In: Journal of econometrics 172 (2013) 2, pp. 325-337
Persistent link: https://www.econbiz.de/10010063358
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TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS
Fasen, Vicky - In: Econometric theory 29 (2012) 1, pp. 28-67
Persistent link: https://www.econbiz.de/10010073734
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Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes
Fasen, Vicky; Fuchs, Florian - In: Journal of time series analysis 34 (2013) 5, pp. 532-551
Persistent link: https://www.econbiz.de/10010168565