The split-SV model (Q1659144): Difference between revisions

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+On the goodness-of-fit procedure for normality based on the empirical characteristic function for ranked set sampling data
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
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+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
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+An efficiency result for the empirical characteristic function in stationary time-series models
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+The empirical characteristic function and its applications
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+Multivariate Stochastic Variance Models
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+An efficient method for maximum likelihood estimation of a stochastic volatility model
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+EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
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+Applications of the characteristic function-based continuum GMM in finance
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+The indirect continuous-GMM estimation
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+A random-projection based test of Gaussianity for stationary processes
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+Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
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+Quasi-maximum likelihood estimation of stochastic volatility models
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+Realized stochastic volatility with leverage and long memory
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+Estimation of affine asset pricing models using the empirical characteristic function
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+Estimation in real data set by Split-ARCH model
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+The split-BREAK model
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+Stochastic analysis of GSB process
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+Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
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+Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
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+Maximum likelihood estimation of stochastic frontier models by the Fourier transform
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+On generalised asymmetric stochastic volatility models
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+Extended stochastic volatility models incorporating realised measures
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+Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
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+Empirical Characteristic Function Estimation and Its Applications
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+.1016/J.CSDA.2014.08.010
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