Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes (Q1927109): Difference between revisions

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Latest revision as of 13:11, 16 December 2024

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Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
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    Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes (English)
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    30 December 2012
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    quasi-likelihood estimation
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    stochastic volatility model
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    Ornstein-Uhlenbeck process
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    asymptotic variance
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    exchange rate data
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    simulation study
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    \texttt{R}
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