Statistical estimation of Lévy-type stochastic volatility models (Q470521): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62M09 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / zbMATH DE Number: 6368839 / rank | |||
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time-changed Lévy model | |||
| Property / zbMATH Keywords: time-changed Lévy model / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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random clock | |||
| Property / zbMATH Keywords: random clock / rank | |||
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nonparametric estimation | |||
| Property / zbMATH Keywords: nonparametric estimation / rank | |||
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parameter estimation based on high-frequency data | |||
| Property / zbMATH Keywords: parameter estimation based on high-frequency data / rank | |||
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Revision as of 16:30, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Statistical estimation of Lévy-type stochastic volatility models |
scientific article |
Statements
Statistical estimation of Lévy-type stochastic volatility models (English)
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12 November 2014
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time-changed Lévy model
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stochastic volatility
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random clock
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nonparametric estimation
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parameter estimation based on high-frequency data
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