| Abstract: | We study the correlation decay and the expected maximal increments of the exponential processes determined by continuous-time autoregressive moving average (CARMA)-type processes of order (p, q). We consider two background driving processes, namely fractional Brownian motions and Lévy processes with exponential moments. The results presented in this paper are significant extensions of those very recent works on the Ornstein–Uhlenbeck-type case (p = 1, q = 0), and we develop more refined techniques to meet the general (p, q). In the concluding section, we discuss the perspective role of exponential CARMA-type processes in stochastic modelling of the burst phenomena in telecommunications and the leverage effect in financial econometrics. |
