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

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