Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes (Q2390465): Difference between revisions

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English	Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes	scientific article

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scholarly article

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Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes (English)

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Emanuele Taufer

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Nikolai N. Leonenko

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Journal of Statistical Planning and Inference

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publication date

22 July 2009

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zbMATH Keywords

Lévy process

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self-decomposable distributions

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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.jspi.2009.02.007

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Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets

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Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

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Processes of normal inverse Gaussian type

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Superposition of Ornstein--Uhlenbeck Type Processes

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Some stationary processes in discrete and continuous time

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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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Spectral properties of superpositions of Ornstein-Uhlenbeck type processes

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Slowly Decaying Correlations, Testing Normality, Nuisance Parameters

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Multiple forecasts with autoregressive time series models: Case studies.

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Testing for normality in arbitrary dimension

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Algebraic properties of beta and gamma distributions, and applications

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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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The empirical characteristic function and its applications

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Large deviations in estimation of an Ornstein-Uhlenbeck model

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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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Applications of empirical characteristic functions in some multivariate problems

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On estimating the cumulant generating function of linear processes

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Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process

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

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Processes of Meixner type

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Generalized \(z\)-distributions and related stochastic processes

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On the self-decomposability of Euler's Gamma function

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Student processes

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Survival models for heterogeneous populations derived from stable distributions

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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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An integral representation for selfdecomposable banach space valued random variables

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An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution

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EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION

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

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Asymmetric Laplace laws and modeling financial data

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Simulation of Estimates Using the Empirical Characteristic Function

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Nonparametric estimation for Lévy processes from low-frequency observations

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Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes

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

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The normal inverse gaussian lévy process: simulation and approximation

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Lévy processes, polynomials and martingales

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Fitting the variance-gamma model to financial data

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On asymptotics of estimating functions

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

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ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES

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Inference in Lévy-type stochastic volatility models

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

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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.JSPI.2009.02.007

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Mathematics(1 entry)

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