Prediction of Gaussian Volterra processes with compound Poisson jumps-Reference-Cited by-同舟云学术

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Prediction of Gaussian Volterra processes with compound Poisson jumps

Published:2024-05 Issue: Volume:208 Page:110054
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Maleki Almani Hamidreza,Shokrollahi Foad,Sottinen Tommi^ORCID

Funder

University of Vaasa

Publisher

Elsevier BV

Reference23 articles.

1. Stock price processes with discontinuous time paths: An empirical examination;Akgiray;Financ. Rev.,1986

2. Compound distribution models of stock returns: An empirical comparison;Akgiray;J. Financ. Res.,1987

3. Stochastic calculus with respect to Gaussian processes;Alòs;Ann. Probab.,2001

4. Necessary and sufficient conditions for Hölder continuity of Gaussian processes;Azmoodeh;Statist. Probab. Lett.,2014

5. Long memory processes and fractional integration in econometrics;Baillie;J. Econometrics,1996

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