Poisson-Driven Stationary Markov Models-Reference-Cited by-同舟云学术

Poisson-Driven Stationary Markov Models

Published:2017-06-12 Issue:4 Volume:36 Page:684-694
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Anzarut Michelle¹,Mena Ramsés H.¹,Nava Consuelo R.²,Prünster Igor³

Affiliation:

1. Department of Probability and Statistics, Instituto de Investigaciones en Matemáticas Aplicadas y Sistemas, Universidad Nacional Autónoma de México, Mexico (;

2. Department of Economics and Statistics, UniversitȤ degli Studi di Torino and Collegio Carlo, Alberto, Italy ()

3. Department of Decision Sciences, BIDSA and IGIER, Bocconi University, Italy ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2016.1251441

Reference36 articles.

1. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

2. Diffusion-type models with given marginal distribution and autocorrelation function

3. Time Series: Theory and Methods

4. An Introduction to Statistical Modeling of Extreme Values

5. Empirical properties of asset returns: stylized facts and statistical issues

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