Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
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Publication:1658343
DOI10.1016/j.csda.2011.02.016zbMath1464.62170OpenAlexW2052930382MaRDI QIDQ1658343
Marco Bee, Emanuele Taufer, Nikolai N. Leonenko
Publication date: 14 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.02.016
Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)
Related Items
The indirect continuous-GMM estimation, The split-SV model, Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes, Inference procedures for stable-Paretian stochastic volatility models, Fourier inference for stochastic volatility models with heavy-tailed innovations, Estimation of Parameters of the Ornstein-Uhlenbeck Type Processes with Continuum of Moment Conditions
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