Assessing Gamma kernels and BSS/LSS processes

Ole Barndorff-Nielsen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Keywords: Ambit Stochastics; autocorrelation functions; Brownian semistationary processes; financial econometrics; fractional differentiation; identification; Levy semistationary processes; path properties; turbulence modelling; volatility/intermittency. (search for similar items in EconPapers)
JEL-codes: C1 C5 (search for similar items in EconPapers)
Pages: 15
Date: 2016-04-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2016-09

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