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pro vyhledávání: '"Tina Marquardt"'
Autor:
Christian Bender, Tina Marquardt
Publikováno v:
Journal of Applied Probability. 46:609-628
We introduce a class of stock models that interpolates between exponential Lévy models based on Brownian subordination and certain stochastic volatility models with Lévy-driven volatility, such as the Barndorff-Nielsen–Shephard model. The driving
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::714ebd6432a844d0106c4324b68d11c9
https://doi.org/10.1017/s0021900200005787
https://doi.org/10.1017/s0021900200005787
Autor:
Tina Marquardt
Publikováno v:
Journal of Multivariate Analysis. 98(9):1705-1725
A multivariate analogue of the fractionally integrated continuous time autoregressive moving average (FICARMA) process defined by Brockwell [Representations of continuous-time ARMA processes, J. Appl. Probab. 41 (A) (2004) 375–382] is introduced. W
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::62188c7317158a48206a76104c46854e
Autor:
Tina Marquardt, Christian Bender
Publikováno v:
Bernoulli 14, no. 2 (2008), 499-518
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for example, fractional L\'{e}vy processes as studied by Marqu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f93c536312e8121441f712b16ee735c
https://projecteuclid.org/euclid.bj/1208872115
https://projecteuclid.org/euclid.bj/1208872115
Autor:
Robert Stelzer, Tina Marquardt
A multivariate Lévy-driven continuous time autoregressive moving average (CARMA) model of order (p,q), q
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a2126e07425ffcad7f199f9ba14dc210
https://mediatum.ub.tum.de/doc/1072563/document.pdf
https://mediatum.ub.tum.de/doc/1072563/document.pdf
Autor:
Tina Marquardt
Publikováno v:
Bernoulli 12, no. 6 (2006), 1099-1126
Starting from the moving average (MA) integral representation of fractional Brownian motion (FBM), the class of fractional Lévy processes (FLPs) is introduced by replacing the Brownian motion by a general Lévy process with zero mean, finite varianc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a431063260936065d4b00a1f4f602963
https://mediatum.ub.tum.de/doc/1072086/document.pdf
https://mediatum.ub.tum.de/doc/1072086/document.pdf