High‐Frequency Sampling of a Continuous‐Time ARMA Process

9 Pages Posted: 28 Dec 2011

See all articles by Peter Brockwell

Peter Brockwell

Colorado State University, Fort Collins

Vincenzo Ferrazzano

Technische Universität München (TUM)

C. Klüppelberg

Technische Universität München (TUM)

Date Written: January 2012

Abstract

Continuous‐time autoregressive moving average (CARMA) processes have recently been used widely in the modelling of non‐uniformly spaced data and as a tool for dealing with high‐frequency data of the form ,n = 0, 1, 2,…, where Δ is small and positive. Such data occur in many fields of application, particularly in finance and in the study of turbulence. This article is concerned with the characteristics of the process , when Δ is small and the underlying continuous‐time process is a specified CARMA process.

Keywords: CARMA process, high‐frequency data, discretely sampled process

JEL Classification: 60G51, 62M10

Suggested Citation

Brockwell, Peter and Ferrazzano, Vincenzo and Kluppelberg, Claudia, High‐Frequency Sampling of a Continuous‐Time ARMA Process (January 2012). Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 152-160, 2012, Available at SSRN: https://ssrn.com/abstract=1977406 or http://dx.doi.org/10.1111/j.1467-9892.2011.00748.x

Peter Brockwell (Contact Author)

Colorado State University, Fort Collins ( email )

Fort Collins, CO 80523
United States
970-491-3481 (Phone)
970-491-7895 (Fax)

Vincenzo Ferrazzano

Technische Universität München (TUM)

Arcisstrasse 21
Munich, DE 80333
Germany

Claudia Kluppelberg

Technische Universität München (TUM) ( email )

Center for Mathematical Sciences
D-80290 Munich
Germany

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