Pages that link to "Item:Q2729107"
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The following pages link to Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion) (Q2729107):
Displaying 50 items.
- Large deviations for multi-scale jump-diffusion processes (Q516019) (← links)
- Sample path generation of Lévy-driven continuous-time autoregressive moving average processes (Q518863) (← links)
- Selfdecomposable fields (Q521968) (← links)
- Two novel characterizations of self-decomposability on the half-line (Q521972) (← links)
- Local risk-minimization for Barndorff-Nielsen and Shephard models (Q522068) (← links)
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration (Q528158) (← links)
- Least squares estimators for stochastic differential equations driven by small Lévy noises (Q529425) (← links)
- Pricing Asian options in a stochastic volatility model with jumps (Q529935) (← links)
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
- Tests of fit for normal inverse Gaussian distributions (Q537399) (← links)
- Pricing of the time-change risks (Q543799) (← links)
- Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding (Q553681) (← links)
- On strong solutions for positive definite jump diffusions (Q554460) (← links)
- Subgeometric ergodicity of strong Markov processes (Q558691) (← links)
- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes (Q605021) (← links)
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- Multivariate COGARCH(1, 1) processes (Q605037) (← links)
- Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (Q609727) (← links)
- Utility maximization in models with conditionally independent increments (Q614120) (← links)
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type (Q625306) (← links)
- Extremes of Lévy driven mixed MA processes with convolution equivalent distributions (Q626294) (← links)
- Multivariate supOU processes (Q627238) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Weather derivatives and stochastic modelling of temperature (Q638030) (← links)
- Quasi Ornstein-Uhlenbeck processes (Q638762) (← links)
- Limit theorems for \(D[0,1]\)-valued autoregressive processes (Q639608) (← links)
- Stationary infinitely divisible processes (Q642197) (← links)
- Prediction-based estimating functions: review and new developments (Q642200) (← links)
- On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes (Q644787) (← links)
- A normal inverse Gaussian model for a risky asset with dependence (Q654485) (← links)
- Quantile clocks (Q655573) (← links)
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes (Q655929) (← links)
- An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts (Q659261) (← links)
- Large deviations of realized volatility (Q665439) (← links)
- The asymptotic smile of a multiscaling stochastic volatility model (Q681999) (← links)
- On the controversy over tailweight of distributions. (Q703249) (← links)
- On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
- Limit theorems for multifractal products of geometric stationary processes (Q726752) (← links)
- LAMN property for hidden processes: the case of integrated diffusions (Q731453) (← links)
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law (Q734413) (← links)
- Econometric analysis of jump-driven stochastic volatility models (Q737254) (← links)
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
- Realized jumps on financial markets and predicting credit spreads (Q737268) (← links)
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
- Realized volatility forecasting and market microstructure noise (Q737278) (← links)
- Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization (Q737315) (← links)
- Realized Laplace transforms for estimation of jump diffusive volatility models (Q738034) (← links)
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies (Q744376) (← links)
