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

From MaRDI portal

Jump to:navigation, search

Latest revision as of 13:25, 16 December 2024

scientific article

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

Statements

scholarly article

0 references

Inference procedures for stable-Paretian stochastic volatility models (English)

0 references

Simos G. Meintanis

0 references

Emanuele Taufer

0 references

Mathematical and Computer Modelling

0 references

publication date

24 January 2013

0 references

zbMATH Keywords

stable-Paretian distribution

0 references

characteristic function

0 references

estimation

0 references

first order stationary auto-regressive processes

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.mcm.2011.09.044

0 references

Indirect estimation of \(\alpha \)-stable stochastic volatility models

0 references

0 references

On the relation between GARCH and stable processes

0 references

On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).

0 references

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

0 references

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

0 references

Simulation and inference for stochastic volatility models driven by Levy processes

0 references

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

0 references

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

0 references

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

0 references

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

0 references

On statistical transform methods and their efficiency

0 references

Empirical Characteristic Function Estimation and Its Applications

0 references

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

0 references

On Some Fourier Methods for Inference

0 references

Regression-Type Estimation of the Parameters of Stable Laws

0 references

Simulation of Estimates Using the Empirical Characteristic Function

0 references

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

0 references

EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION

0 references

Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models

0 references

Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes

0 references

0 references

Some stationary processes in discrete and continuous time

0 references

Short and Long Memory Fractional Ornstein–Uhlenbeck α-Stable Processes

0 references

Long-memory stable {O}rnstein-{U}hlenbeck processes

0 references

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

0 references

MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

0 references

0 references

0 references

A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS

0 references

Identifiers

zbMATH Open document ID

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

10.1016/J.MCM.2011.09.044

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1931045

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1931045&oldid=38794357"