Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous-Time ARMA–GARCH-Type Models with Long Memory

Holger Fink

Journal of Time Series Analysis, 2016, vol. 37, issue 1, 30-45

Abstract: type="main" xml:id="jtsa12135-abs-0001"> Long-memory effects can be found in many data sets from finance to hydrology. Therefore, models that can reflect these properties have become more popular in recent years. Mandelbrot–Van Ness fractional Lévy processes allow for such stationary long-memory effects in their increments and have been used in different settings ranging from fractionally integrated continuous-time ARMA–GARCH-type setups to general stochastic differential equations. However, their conditional distributions have not yet been considered in detail. In this article, we provide a closed formula for their conditional characteristic functions and suggest several applications to continuous-time ARMA–GARCH-type models with long memory.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1111/jtsa.12135 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:37:y:2016:i:1:p:30-45

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().