Vincenzo Ferrazzano

Technische Universität München (TUM)

Arcisstrasse 21

Munich, DE 80333

Germany

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

High‐Frequency Sampling and Kernel Estimation for Continuous‐Time Moving Average Processes

Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 385-404, 2013
Number of pages: 20 Posted: 26 Apr 2013
Peter Brockwell, Vincenzo Ferrazzano and C. Klüppelberg
Colorado State University, Fort Collins, Technische Universität München (TUM) and Technische Universität München (TUM)
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CARMA process, continuous‐time moving average process, FICARMA process, high‐frequency data, kernel estimation, regular variation, spectral theory, turbulence, Wold representation

2.

High‐Frequency Sampling of a Continuous‐Time ARMA Process

Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 152-160, 2012
Number of pages: 9 Posted: 28 Dec 2011
Peter Brockwell, Vincenzo Ferrazzano and C. Klüppelberg
Colorado State University, Fort Collins, Technische Universität München (TUM) and Technische Universität München (TUM)
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CARMA process, high‐frequency data, discretely sampled process