Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
type: Item
instance of: scholarly article
title: Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
zbMATH Open document ID: 1464.62170
author: Emanuele Taufer
author: Marco Bee
author: Nikolai N. Leonenko
published in: Computational Statistics and Data Analysis
publication date: 2018-08-14T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6917737
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: Lévy process
zbMATH Keywords: stochastic volatility
zbMATH Keywords: characteristic function estimation
MaRDI profile type: Publication
full work available at URL: j.csda.2011.02.016
OpenAlex ID: W2052930382
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DOI: 10.1016/J.CSDA.2011.02.016
description: scientific article; zbMATH DE number 6917737