The split-SV model (Q1659144): Difference between revisions

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Language	Label	Description	Also known as
English	The split-SV model	scientific article

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scholarly article

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The split-SV model (English)

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Vladica S. Stojanović

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Biljana Č. Popović

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Gradimir V. Milovanović

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Computational Statistics and Data Analysis

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publication date

15 August 2018

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zbMATH Keywords

split-SV process

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noise-indicator

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contaminated Gaussian distribution

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convolutions

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empirical characteristic function estimation

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describes a project that uses

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OrthogonalPolynomials

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.csda.2014.08.010

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On the goodness-of-fit procedure for normality based on the empirical characteristic function for ranked set sampling data

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

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Stochastic volatility in asset prices. Estimation with simulated maximum likelihood

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An efficiency result for the empirical characteristic function in stationary time-series models

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The empirical characteristic function and its applications

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Multivariate Stochastic Variance Models

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An efficient method for maximum likelihood estimation of a stochastic volatility model

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Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling

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Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method

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EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION

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Applications of the characteristic function-based continuum GMM in finance

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The indirect continuous-GMM estimation

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A random-projection based test of Gaussianity for stationary processes

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On Estimation of a Probability Density Function and Mode

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Perfectly Symmetric Two-Dimensional Integration Formulas with Minimal Numbers of Points

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Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes

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Quasi-maximum likelihood estimation of stochastic volatility models

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Realized stochastic volatility with leverage and long memory

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Estimation of affine asset pricing models using the empirical characteristic function

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Estimation in real data set by Split-ARCH model

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The split-BREAK model

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Stochastic analysis of GSB process

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Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes

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Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models

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Maximum likelihood estimation of stochastic frontier models by the Fourier transform

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On generalised asymmetric stochastic volatility models

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Extended stochastic volatility models incorporating realised measures

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Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures

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Empirical Characteristic Function Estimation and Its Applications

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CSDA.2014.08.010

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Sitelinks

Mathematics(1 entry)

mardi Publication:1659144

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