Abelian theorems for stochastic volatility models with application to the estimation of jump activity
type: Item
instance of: scholarly article
title: Abelian theorems for stochastic volatility models with application to the estimation of jump activity
zbMATH Open document ID: 1282.60083
author: Xianqiang Yang
published in: Stochastic Processes and their Applications
publication date: 2012-11-15T00:00:00Z
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6106880
zbMATH Keywords: affine stochastic volatility model
zbMATH Keywords: abelian theorem
zbMATH Keywords: Blumenthal-Getoor index
MaRDI profile type: Publication
full work available at URL: j.spa.2012.08.015
OpenAlex ID: W1989889746
DOI: 10.1016/J.SPA.2012.08.015
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description: scientific article; zbMATH DE number 6106880