Assessing Gamma kernels and BSS/LSS processes Publikation: Working paper/Preprint › Working paper › Forskning
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.
Originalsprog Engelsk Udgivelsessted Aarhus Udgiver Institut for Økonomi, Aarhus Universitet Antal sider 15 Status Udgivet - 6 apr. 2016
Serietitel CREATES Research Papers Nummer 2016-09
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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