Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models (Q1658343): Difference between revisions

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Language	Label	Description	Also known as
English	Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models	scientific article

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scholarly article

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Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models (English)

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Emanuele Taufer

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Nikolai N. Leonenko

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Computational Statistics and Data Analysis

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publication date

14 August 2018

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zbMATH Keywords

Ornstein-Uhlenbeck process

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Lévy process

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stochastic volatility

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characteristic function estimation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.csda.2011.02.016

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Dynamic models of long-memory processes driven by Lévy noise

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Processes of normal inverse Gaussian type

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Spectral properties of superpositions of Ornstein-Uhlenbeck type processes

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

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Algorithm 698: DCUHRE

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The Pricing of Options and Corporate Liabilities

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Empirical properties of asset returns: stylized facts and statistical issues

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Tests for location-scale families based on the empirical characteristic function

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An efficiency result for the empirical characteristic function in stationary time-series models

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On Some Fourier Methods for Inference

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Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection

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Simulation and inference for stochastic volatility models driven by Levy processes

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Stochastic volatility models as hidden Markov models and statistical applications

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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility

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Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes

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Parametric Estimation for Subordinators and Induced OU Processes

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Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes

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Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method

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EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION

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Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion

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Simulation of Estimates Using the Empirical Characteristic Function

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On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process

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Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes

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Estimation of affine asset pricing models using the empirical characteristic function

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Prediction‐based estimating functions

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Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution

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Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes

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Inference in Lévy-type stochastic volatility models

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Empirical Characteristic Function Estimation and Its Applications

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CSDA.2011.02.016

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Sitelinks

Mathematics(1 entry)

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