Cointegrated continuous-time linear state-space and MCARMA models
Work
Year: 2019
Type: article
Abstract: In this paper, we define and characterize cointegrated solutions of continuous-time linear state-space models driven by Lévy processes. Cointegrated solutions of such models are shown to be representa... more
Source: Stochastics
Authors Vicky Fasen, Markus Scholz
Institution Karlsruhe Institute of Technology
Cites: 69
Cited by: 2
Related to: 10
FWCI: 0.945
Citation percentile (by year/subfield): 74.92
Domain: Social Sciences
Open Access status: green
Grant ID FA 809/2-2