Inference in generalized exponential O-U processes (Q6190225): Difference between revisions

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-.1007/s11203-023-09291-1
@@ Property / DOI: 10.1007/s11203-023-09291-1 / rank @@
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+https://doi.org/10.1007/s11203-023-09291-1
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+W4385782652
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@@ Property / cites work @@
+Survival models based on the Ornstein-Uhlenbeck process
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+Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
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+Drift estimation for a periodic mean reversion process
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+Change point testing for the drift parameters of a periodic mean reversion process
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+Q4004325
@@ Property / cites work: Q4004325 / rank @@
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@@ Property / cites work @@
+Q4145232
@@ Property / cites work: Q4145232 / rank @@
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@@ Property / cites work @@
+Q4522393
@@ Property / cites work: Q4522393 / rank @@
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@@ Property / cites work @@
+Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
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+The risk of pretest and shrinkage estimators
@@ Property / cites work: The risk of pretest and shrinkage estimators / rank @@
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+Estimation and testing in generalized mean-reverting processes with change-point
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+Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model
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+Theory of Preliminary Test and Stein‐Type Estimation With Applications
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+Estimating the dimension of a model
@@ Property / cites work: Estimating the dimension of a model / rank @@
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+Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices
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@@ Property / DOI @@
+.1007/S11203-023-09291-1
@@ Property / DOI: 10.1007/S11203-023-09291-1 / rank @@
+Normal rank