Fractionally integrated processes of Ornstein-Uhlenbeck type
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Pontificia Universidad Católica del Perú
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Abstract
An estimation methodology to deal with fractionally integrated processes of Ornstein- Uhlenbeck type is proposed. The methodology is based on the continuous Whittle contrast. A simulation study is performed by driving this process with a symmetric CGMY background Lévy process.
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Fractional Lévy Processes, Long Range Dependence, Frecuency Domain Estimation
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Except where otherwised noted, this item's license is described as info:eu-repo/semantics/openAccess