Simulation and inference for stochastic volatility models driven by Levy processes (Q5447654): Difference between revisions

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Latest revision as of 01:59, 20 March 2024

scientific article; zbMATH DE number 5251775
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English
Simulation and inference for stochastic volatility models driven by Levy processes
scientific article; zbMATH DE number 5251775

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    Simulation and inference for stochastic volatility models driven by Levy processes (English)
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    20 March 2008
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    fractional
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    long memory
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    Ornstein-Uhlenbeck process
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    power decay process
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    Markov chain Monte Carlo
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