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Assessing Gamma kernels and BSS/LSS processes

Publikation: Working paper/Preprint › Working paper › Forskning

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  • rp16_09

    Forlagets udgivne version, 506 KB, PDF-dokument

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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider15
StatusUdgivet - 6 apr. 2016
SerietitelCREATES Research Papers
Nummer2016-09

    Forskningsområder

  • Ambit Stochastics; autocorrelation functions; Brownian semistationary processes; financial econometrics; fractional differentiation; identification; Levy semistationary processes; path properties; turbulence modelling; volatility/intermittency

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