Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process
Author:
Affiliation:
1. CNRS, Université de Lille, Laboratoire Paul Painlevé UMR 8524, Villeneuve d'Ascq, France
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2022.2068955
Reference24 articles.
1. Forecasting Commodity Markets Volatility: HAR or Rough?
2. Generalized Hermite processes, discrete chaos and limit theorems
3. Fractional Ornstein-Uhlenbeck processes
4. Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes
5. Limit theorems for integral functionals of Hermite-driven processes
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