Simulation and inference for stochastic volatility models driven by Levy processes
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Publication:5447654
DOI10.1093/biomet/asm048zbMath1140.62081OpenAlexW2066757333MaRDI QIDQ5447654
David A. Stephens, Matthew P. S. Gander
Publication date: 20 March 2008
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/asm048
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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