Gamma-driven markov processes and extensions with application to realized volatility
Fernanda G. B. Mendes, Wagner Barreto-Souza, and Sokol Ndreca
| Year of publication: |
2025
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|---|---|
| Authors: | Mendes, Fernanda G. B. ; Barreto-Souza, Wagner ; Ndreca, Sokol |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 43.2025, 1, p. 14-26
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| Subject: | Gauss Laguerre quadrature | Generalized inverse-Gaussian distribution | Positive continuous time series | Stationarity | Time-reversible processes | Weight gamma density | Volatilität | Volatility | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2024.2321375 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015533853