Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures

DOI10.1111/j.1368-423X.2010.00336.xzbMath1217.91215OpenAlexW1544034941MaRDI QIDQ3018503

Almut E. D. Veraart

Publication date: 27 July 2011

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00336.x

zbMATH Keywords

Lévy processesstochastic volatilitysuperpositionquasi-maximum likelihoodinferenceleverage effectrealized variance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Student‐t stochastic volatility model with composite likelihood EM‐algorithm

Uses Software

• Ox

Cites Work

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