Statistical estimation of Lévy-type stochastic volatility models (Q470521): Difference between revisions

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+M09
@@ Property / Mathematics Subject Classification ID: 62M09 / rank @@
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+G51
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+H30
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+G05
@@ Property / Mathematics Subject Classification ID: 62G05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
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@@ Property / zbMATH DE Number @@
+6368839
@@ Property / zbMATH DE Number: 6368839 / rank @@
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@@ Property / zbMATH Keywords @@
+time-changed Lévy model
@@ Property / zbMATH Keywords: time-changed Lévy model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
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@@ Property / zbMATH Keywords @@
+random clock
@@ Property / zbMATH Keywords: random clock / rank @@
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@@ Property / zbMATH Keywords @@
+nonparametric estimation
@@ Property / zbMATH Keywords: nonparametric estimation / rank @@
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@@ Property / zbMATH Keywords @@
+parameter estimation based on high-frequency data
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+https://doi.org/10.1007/s10436-010-0150-x
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+W1965494536
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@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
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@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
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@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
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@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
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+Variations and Hurst index estimation for a Rosenblatt process using longer filters
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@@ Property / cites work @@
+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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@@ Property / cites work @@
+Hyperbolic distributions in finance
@@ Property / cites work: Hyperbolic distributions in finance / rank @@
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@@ Property / cites work @@
+Nonparametric estimation of time-changed Lévy models under high-frequency data
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@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
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@@ Property / cites work @@
+Remarks on deviation inequalities for functions of infinitely divisible random vectors
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+Variational Sums for Additive Processes
@@ Property / cites work: Variational Sums for Additive Processes / rank @@
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@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
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@@ Property / cites work @@
+Processes that can be embedded in Brownian motion
@@ Property / cites work: Processes that can be embedded in Brownian motion / rank @@
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+Central and non-central limit theorems for weighted power variations of fractional Brownian motion
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+Maximum likelihood estimation of the double exponential jump-diffusion process
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@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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@@ Property / cites work @@
+Inference in Lévy-type stochastic volatility models
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@@ links / mardi / name / links / mardi / name @@
+Publication:470521