Fourier inference for stochastic volatility models with heavy-tailed innovations

DOI10.1007/s00362-016-0803-6zbMath1408.62175OpenAlexW2460269330WikidataQ60430055 ScholiaQ60430055MaRDI QIDQ1785815

Bernhard Klar, Simos G. Meintanis, Bruno Ebner

Publication date: 1 October 2018

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0803-6

zbMATH Keywords

characteristic functionminimum distance estimationheavy-tailed distributionstochastic volatility model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Related Items (2)

Tests for heteroskedasticity in transformation models ⋮ Parametric estimation of hidden Markov models by least squares type estimation and deconvolution

Uses Software

• R
• fBasics
• BB
• RMetrics
• VarianceGamma

Cites Work

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• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Fitting the variance-gamma model to financial data
• Multivariate Stochastic Volatility: A Review
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

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