2016/10/05 by N. Modarresi, Modarresi, N., Saeid Rezakhah +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60E07 #60G18 #60G51 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistical Methods and Inference #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1610.01562
openalex publication_date 2016/10/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A class of continuous-time autoregressive moving average (CARMA) process driven by simple semi-Levy measure is defined and its properties are studied. We discuss some new insights on the structure of the semi-Levy measure which is described as periodically divisible measure. This consideration enable us to provide statistical property of the introduced process. We show that this process is well defined without having to assume further conditions on the measure. We find a kernel representation of the process and present the properties of first and second moments of it. Finally we show the efficiency of our model by implying simulated data.