Autoregressive inverse Gaussian process and the stochastic volatility modeling

DOI10.1080/03610926.2021.1977324OpenAlexW3199257020MaRDI QIDQ6107534

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Publication date: 3 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1977324

zbMATH Keywords

stochastic volatilityautoregressiveinverse Gaussiannormal inverse Gaussianlevy measure

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

On normal-Laplace stochastic volatility model

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Markov chain Monte Carlo methods for stochastic volatility models.
• First-order autoregressive gamma sequences and point processes
• On simulation from infinitely divisible distributions
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

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