Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
From MaRDI portal
Publication:2390465
DOI10.1016/J.JSPI.2009.02.007zbMath1168.62074OpenAlexW2011483774MaRDI QIDQ2390465
Emanuele Taufer, Nikolai N. Leonenko
Publication date: 22 July 2009
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2009.02.007
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)
Related Items (12)
Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function ⋮ Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models ⋮ The split-SV model ⋮ Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes ⋮ Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes ⋮ Inference procedures for stable-Paretian stochastic volatility models ⋮ A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions ⋮ On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications ⋮ Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration ⋮ A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Nonparametric estimation for Lévy processes from low-frequency observations
- Tests for location-scale families based on the empirical characteristic function
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
- Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
- On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
- The empirical characteristic function and its applications
- Algebraic properties of beta and gamma distributions, and applications
- Processes of normal inverse Gaussian type
- Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
- Multiple forecasts with autoregressive time series models: Case studies.
- Processes of Meixner type
- Asymmetric Laplace laws and modeling financial data
- An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
- Testing for normality in arbitrary dimension
- Generalized \(z\)-distributions and related stochastic processes
- On the self-decomposability of Euler's Gamma function
- On estimating the cumulant generating function of linear processes
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Superposition of Ornstein--Uhlenbeck Type Processes
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
- An efficiency result for the empirical characteristic function in stationary time-series models
- Inference in Lévy-type stochastic volatility models
- Survival models for heterogeneous populations derived from stable distributions
- On Some Fourier Methods for Inference
- An integral representation for selfdecomposable banach space valued random variables
- Slowly Decaying Correlations, Testing Normality, Nuisance Parameters
- Applications of empirical characteristic functions in some multivariate problems
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Some stationary processes in discrete and continuous time
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- The normal inverse gaussian lévy process: simulation and approximation
- Lévy processes, polynomials and martingales
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Simulation of Estimates Using the Empirical Characteristic Function
- EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
- Fitting the variance-gamma model to financial data
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Parametric Estimation for Subordinators and Induced OU Processes
- Simulation and inference for stochastic volatility models driven by Levy processes
- Student processes
- ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES
- On asymptotics of estimating functions
This page was built for publication: Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
