Fasen, Vicky; Fuchs, Florian - In: Stochastic Processes and their Applications 123 (2013) 1, pp. 229-273
In this paper we consider a continuous-time autoregressive moving average (CARMA) process (Yt)t∈R driven by a symmetric α-stable Lévy process with α∈(0,2] sampled at a high-frequency time-grid {0,Δn,2Δn,…,nΔn}, where the observation grid gets finer and the last observation tends to...
