CREATES lunch seminar: Orimar Sauri

Title: On Lévy semistationary processes with a gamma kernel

Info about event


Tuesday 8 October 2013,  at 12:00 - 12:30


Fuglesangs Allé 4, 8210 Aarhus V, building 2628, room 303


In this talk I will discuss some path properties of a $\mathcal{LSS}$ process when the kernel is given by $\phi \left( s\right) =e^{-\lambda s}s^{\alpha }$. We link this process with the fractional Brownian motion of index $H=\alpha +1/2$ for $\alpha >-1/2$. I will present some plausible non-parametric and parametric methods of estimation for the stochastic volatility of the process and its Hurst index, respectively. Also, I study the stationary distribution induced by this process. In particular, it is shown that such distribution is selfdecomposable and, under certain conditions, it can be characterized by the triplet of its marginal distribution.

CREATES arranges lunch seminars on a regular basis, normally on Tuesdays. The speakers are usually CREATES members, mostly PhD-students and postdocs. The speakers can also be visiting PhD-students or professors.

Each lunch seminar is followed by a discussion of the paper presented.

Organizers: Anders Bredahl Kock and Cristina Amado.

Place: CREATES meeting room, M303, building 2628 (M)