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

@@ Property / DOI @@
-.1016/j.jspi.2009.02.007
@@ Property / DOI: 10.1016/j.jspi.2009.02.007 / rank @@
-Normal rank
@@ Property / author @@
-Q203510
@@ Property / author: Q203510 / rank @@
-Normal rank
@@ Property / author @@
+Nikolai N. Leonenko
@@ Property / author: Nikolai N. Leonenko / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jspi.2009.02.007
+Normal rank
@@ Property / OpenAlex ID @@
+W2011483774
@@ Property / OpenAlex ID: W2011483774 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
+Normal rank
@@ Property / cites work @@
+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Superposition of Ornstein--Uhlenbeck Type Processes
+Normal rank
@@ Property / cites work @@
+Some stationary processes in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
+Normal rank
@@ Property / cites work @@
+Slowly Decaying Correlations, Testing Normality, Nuisance Parameters
+Normal rank
@@ Property / cites work @@
+Multiple forecasts with autoregressive time series models: Case studies.
+Normal rank
@@ Property / cites work @@
+Testing for normality in arbitrary dimension
@@ Property / cites work: Testing for normality in arbitrary dimension / rank @@
+Normal rank
@@ Property / cites work @@
+Algebraic properties of beta and gamma distributions, and applications
+Normal rank
@@ Property / cites work @@
+Tests for location-scale families based on the empirical characteristic function
+Normal rank
@@ Property / cites work @@
+An efficiency result for the empirical characteristic function in stationary time-series models
+Normal rank
@@ Property / cites work @@
+On Some Fourier Methods for Inference
@@ Property / cites work: On Some Fourier Methods for Inference / rank @@
+Normal rank
@@ Property / cites work @@
+The empirical characteristic function and its applications
+Normal rank
@@ Property / cites work @@
+Large deviations in estimation of an Ornstein-Uhlenbeck model
+Normal rank
@@ Property / cites work @@
+Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
+Normal rank
@@ Property / cites work @@
+Simulation and inference for stochastic volatility models driven by Levy processes
+Normal rank
@@ Property / cites work @@
+Q4715594
@@ Property / cites work: Q4715594 / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of empirical characteristic functions in some multivariate problems
+Normal rank
@@ Property / cites work @@
+On estimating the cumulant generating function of linear processes
+Normal rank
@@ Property / cites work @@
+Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
+Normal rank
@@ Property / cites work @@
+Processes of Meixner type
@@ Property / cites work: Processes of Meixner type / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized \(z\)-distributions and related stochastic processes
+Normal rank
@@ Property / cites work @@
+On the self-decomposability of Euler's Gamma function
+Normal rank
@@ Property / cites work @@
+Student processes
@@ Property / cites work: Student processes / rank @@
+Normal rank
@@ Property / cites work @@
+Survival models for heterogeneous populations derived from stable distributions
+Normal rank
@@ Property / cites work @@
+Parametric Estimation for Subordinators and Induced OU Processes
+Normal rank
@@ Property / cites work @@
+Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+An integral representation for selfdecomposable banach space valued random variables
+Normal rank
@@ Property / cites work @@
+An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
+Normal rank
@@ Property / cites work @@
+EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
+Normal rank
@@ Property / cites work @@
+Theory &amp; Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
+Normal rank
@@ Property / cites work @@
+Asymmetric Laplace laws and modeling financial data
+Normal rank
@@ Property / cites work @@
+Simulation of Estimates Using the Empirical Characteristic Function
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation for Lévy processes from low-frequency observations
+Normal rank
@@ Property / cites work @@
+Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
+Normal rank
@@ Property / cites work @@
+The normal inverse gaussian lévy process: simulation and approximation
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy processes, polynomials and martingales
@@ Property / cites work: Lévy processes, polynomials and martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4840210
@@ Property / cites work: Q4840210 / rank @@
+Normal rank
@@ Property / cites work @@
+Fitting the variance-gamma model to financial data
+Normal rank
@@ Property / cites work @@
+On asymptotics of estimating functions
@@ Property / cites work: On asymptotics of estimating functions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4445977
@@ Property / cites work: Q4445977 / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
+Normal rank
@@ Property / cites work @@
+ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES
+Normal rank
@@ Property / cites work @@
+Inference in Lévy-type stochastic volatility models
+Normal rank
@@ Property / cites work @@
+On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
+Normal rank
@@ Property / DOI @@
+.1016/J.JSPI.2009.02.007
@@ Property / DOI: 10.1016/J.JSPI.2009.02.007 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2390465