Thus, we do not only have dependency through the Lévy processes, but also functional
dependencies between the coordinates in vector-valued CARMA process. Such multivariate
CARMA processes is further studied by Schlemm and Stelzer  and Kevei . Taking
these extensions into account, we have a rich class of stationary processes available
for cointegration modelling.
Fred Espen. Cointegration in continuous time for factor models. (2018) MATHEMATICS
AND FINANCIAL ECONOMICS 1862-9679 1862-9660 13 1-28