Inference procedures for stable-Paretian stochastic volatility models (Q1931045): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.mcm.2011.09.044 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2038978888 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Indirect estimation of \(\alpha \)-stable stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2709279 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the relation between GARCH and stable processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\). / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation and inference for stochastic volatility models driven by Levy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: On statistical transform methods and their efficiency / rank
 
Normal rank
Property / cites work
 
Property / cites work: Empirical Characteristic Function Estimation and Its Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: An efficiency result for the empirical characteristic function in stationary time-series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Some Fourier Methods for Inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regression-Type Estimation of the Parameters of Stable Laws / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation of Estimates Using the Empirical Characteristic Function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method / rank
 
Normal rank
Property / cites work
 
Property / cites work: EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4301585 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some stationary processes in discrete and continuous time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Short and Long Memory Fractional Ornstein–Uhlenbeck α-Stable Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long-memory stable {O}rnstein-{U}hlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process / rank
 
Normal rank
Property / cites work
 
Property / cites work: MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3736717 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4223580 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 03:49, 6 July 2024

scientific article
Language Label Description Also known as
English
Inference procedures for stable-Paretian stochastic volatility models
scientific article

    Statements

    Inference procedures for stable-Paretian stochastic volatility models (English)
    0 references
    0 references
    0 references
    24 January 2013
    0 references
    0 references
    0 references
    0 references
    0 references
    stable-Paretian distribution
    0 references
    characteristic function
    0 references
    estimation
    0 references
    first order stationary auto-regressive processes
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references