Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
type: Item
instance of: scholarly article
title: Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
zbMATH Open document ID: 1255.62322
author: Arvid Raknerud
author: Øivind Skare
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 62-04
zbMATH DE Number: 6119751
zbMATH Keywords: quasi-likelihood estimation
zbMATH Keywords: stochastic volatility model
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: asymptotic variance
zbMATH Keywords: exchange rate data
zbMATH Keywords: simulation study
zbMATH Keywords: \texttt{R}
describes a project that uses: R
describes a project that uses: Armadillo
describes a project that uses: RcppArmadillo
describes a project that uses: BRENT
MaRDI profile type: Publication
full work available at URL: j.csda.2011.01.014
OpenAlex ID: W2052870242
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DOI: 10.1016/J.CSDA.2011.01.014
description: scientific article; zbMATH DE number 6119751