2017/09/21 by Juan Kalemkerian, Kalemkerian, Juan
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Fuzzy Systems and Optimization
paper · pdf · doi:10.48550/arxiv.1709.07143
In this work we present a Gaussian process that arise from the iteration of p fractional Ornstein-Uhlenbeck processes generated by the same fractional Brownian motion. This iteration results, when the values of lambdas are pairwise differents, in a particular linear combination of those processes. Although for H>1/2 each term of the linear combination is a long memory processes, we prove that it results in a short memory processes. We include applications to real data that show improvement in predictive performance compared with different ARMA models.