A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots

Vladimir Andric and Sanja Nenadovic

Journal of Time Series Analysis, 2024, vol. 45, issue 4, 660-668

Abstract: We derive embeddability conditions for the integrated CARMA (2, 1) stochastic process with single and double zero roots in the case of stock variables.

Date: 2024
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https://doi.org/10.1111/jtsa.12730

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