Weak dependence and GMM estimation of supOU and mixed moving average processes
Publication:1722057
DOI10.1214/18-EJS1523zbMath1406.60028arXiv1807.05801MaRDI QIDQ1722057
Imma Valentina Curato, Robert Stelzer
Publication date: 14 February 2019
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.05801
stochastic volatilitygeneralized method of momentsweak dependenceLévy basisOrnstein-Uhlenbeck type process
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Stationary stochastic processes (60G10) Random measures (60G57)
Related Items (4)
Cites Work
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