Moment based estimation of supOU processes and a related stochastic volatility model

DOI10.1515/STRM-2012-1152zbMath1309.62145arXiv1305.1470OpenAlexW2963184273MaRDI QIDQ2340426

Marc Wittlinger, Robert Stelzer, Thomas Tosstorff

Publication date: 17 April 2015

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.1470

zbMATH Keywords

stochastic volatilitygeneralized method of momentslong memorysuperpositionsLévy basisOrnstein-Uhlenbeck type process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

Related Items (8)

Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields ⋮ Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes ⋮ The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes ⋮ The multifaceted behavior of integrated supOU processes: the infinite variance case ⋮ Weak dependence and GMM estimation of supOU and mixed moving average processes ⋮ Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes ⋮ Intermittency and infinite variance: the case of integrated supou processes ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge

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