Indirect estimation of \(\alpha \)-stable stochastic volatility models

DOI10.1016/j.csda.2008.11.016zbMath1453.62143OpenAlexW2161991675MaRDI QIDQ961424

Marco J. Lombardi, Giorgio Calzolari

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.11.016

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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