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Geometric ergodicity of multivariate stochastic volatility models
(Universität Ulm, 2018-02-05)
Several multivariate continuous time stochastic volatility models are studied regarding the existence of and exponentially fast convergence to a unique stationary distribution, which is called geometric ergodicity. The ...
CARMA models with random coefficients and inference for renewal sampled Lévy driven moving average processes
(Universität Ulm, 2018-08-24)
This thesis covers miscellaneous topics in the field of time series analysis and stochastic processes and consists of four topics where the first two are connected by the appearance of random coefficients and the last two ...