Parameter estimation for a discretely observed stochastic volatility model with jumps in the volatility

DOI10.1142/S0252959903000219zbMath1037.62111OpenAlexW2324968288MaRDI QIDQ1425581

D. Massart

Publication date: 17 March 2004

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0252959903000219

zbMATH Keywords

law of large numberscentral limit theoremsOrnstein-Uhlenbeck processesLevy processesstochastic volatility modelsNIG distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15)

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