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Limit Theory for High Frequency Sampled MCARMA Models
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- Journal:
- Advances in Applied Probability / Volume 46 / Issue 3 / September 2014
- Published online by Cambridge University Press:
- 22 February 2016, pp. 846-877
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- September 2014
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TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS
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- Journal:
- Econometric Theory / Volume 29 / Issue 1 / February 2013
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- 06 July 2012, pp. 28-67
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Extremes of autoregressive threshold processes
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- Advances in Applied Probability / Volume 41 / Issue 2 / June 2009
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- 01 July 2016, pp. 428-451
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- June 2009
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A fluid cluster Poisson input process can look like a fractional Brownian motion even in the slow growth aggregation regime
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- Advances in Applied Probability / Volume 41 / Issue 2 / June 2009
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- 01 July 2016, pp. 393-427
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- June 2009
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Extremes of regularly varying Lévy-driven mixed moving average processes
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- Journal:
- Advances in Applied Probability / Volume 37 / Issue 4 / December 2005
- Published online by Cambridge University Press:
- 01 July 2016, pp. 993-1014
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- December 2005
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