Inference procedures for stable-Paretian stochastic volatility models

DOI10.1016/j.mcm.2011.09.044zbMath1255.91308OpenAlexW2038978888MaRDI QIDQ1931045

Emanuele Taufer, Simos G. Meintanis

Publication date: 24 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.09.044

zbMATH Keywords

estimationcharacteristic functionstable-Paretian distributionfirst order stationary auto-regressive processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Stable stochastic processes (60G52)

Related Items (3)

Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes ⋮ Fourier inference for stochastic volatility models with heavy-tailed innovations ⋮ Indirect inference for time series using the empirical characteristic function and control variates

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