Pages that link to "Item:Q5933570"
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The following pages link to Stochastic volatility models as hidden Markov models and statistical applications (Q5933570):
Displaying 50 items.
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes (Q265662) (← links)
- Quality control for structural credit risk models (Q299230) (← links)
- Bidimensional random effect estimation in mixed stochastic differential model (Q300772) (← links)
- Multidimensional structural credit modeling under stochastic volatility (Q361588) (← links)
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution (Q378917) (← links)
- Goodness-of-fit test for stochastic volatility models (Q391575) (← links)
- Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap (Q424699) (← links)
- Hypothesis testing for Fisher-Snedecor diffusion (Q433748) (← links)
- ANOVA for diffusions and Itō processes (Q449957) (← links)
- Efficient likelihood estimation in state space models (Q449965) (← links)
- On the Viterbi process with continuous state space (Q453291) (← links)
- The Bickel-Rosenblatt test for continuous time stochastic volatility models (Q464450) (← links)
- Optimal state filtering of controllable systems with random structure (Q465293) (← links)
- Stochastic volatility model and technical analysis of stock price (Q475736) (← links)
- Nonparametric specification tests for stochastic volatility models based on volatility density (Q494406) (← links)
- Penalized least squares estimation with weakly dependent data (Q525888) (← links)
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- A note on wavelet density deconvolution for weakly dependent data (Q623487) (← links)
- Some inequalities for strong mixing random variables with applications to density estimation (Q625009) (← links)
- Estimation of a multivariate stochastic volatility density by kernel deconvolution (Q631636) (← links)
- Prediction-based estimating functions: review and new developments (Q642200) (← links)
- A normal inverse Gaussian model for a risky asset with dependence (Q654485) (← links)
- Nonparametric model validations for hidden Markov models with applications in financial econometrics (Q737900) (← links)
- Generalized spectral testing for multivariate continuous-time models (Q738028) (← links)
- A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables (Q766218) (← links)
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes (Q817968) (← links)
- Prediction-based estimation for diffusion models with high-frequency data (Q825345) (← links)
- Computable infinite-dimensional filters with applications to discretized diffusion processes (Q855688) (← links)
- Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview (Q862564) (← links)
- An option pricing formula for the GARCH diffusion model (Q957204) (← links)
- Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model (Q961412) (← links)
- Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions (Q963848) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- On adjusted Viterbi training (Q996733) (← links)
- The adjusted Viterbi training for hidden Markov models (Q1002581) (← links)
- Nonparametric adaptive estimation for integrated diffusions (Q1009666) (← links)
- A maximal moment inequality for \(\alpha \)-mixing sequences and its applications (Q1030155) (← links)
- Statistical inference for reciprocal gamma diffusion process (Q1036702) (← links)
- A non-linear explicit filter. (Q1424477) (← links)
- Financial options and statistical prediction intervals (Q1431433) (← links)
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models (Q1658343) (← links)
- Algorithmic estimation of risk factors in financial markets with stochastic drift (Q1762049) (← links)
- Rate of convergence for parametric estimation in a stochastic volatility model. (Q1766043) (← links)
- Diffusion-type models with given marginal distribution and autocorrelation function (Q1781184) (← links)
- Parameter estimation and model testing for Markov processes via conditional characteristic functions (Q1940757) (← links)
- Parametric inference for hypoelliptic ergodic diffusions with full observations (Q2023472) (← links)
- Parametric estimation of hidden Markov models by least squares type estimation and deconvolution (Q2093141) (← links)
- Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations (Q2095763) (← links)
- Contrast estimation for noisy observations of diffusion processes via closed-form density expansions (Q2144195) (← links)
- On the nonparametric inference of coefficients of self-exciting jump-diffusion (Q2154949) (← links)
