Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method

DOI10.1111/1467-842X.00234zbMath1021.62089MaRDI QIDQ4408643

Jun Yu, John L. Knight, Stephen E. Satchell

Publication date: 21 October 2003

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityempirical characteristic functionfinancial data

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Characteristic functions; other transforms (60E10)

Related Items (15)

Empirical Characteristic Function Estimation and Its Applications ⋮ Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ Inference for the Generalized Normal Laplace Distribution ⋮ Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes ⋮ Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models ⋮ The split-SV model ⋮ Applications of the characteristic function-based continuum GMM in finance ⋮ Inference procedures for stable-Paretian stochastic volatility models ⋮ Estimation and asymptotic covariance matrix for stochastic volatility models ⋮ Estimation of the stochastic conditional duration model via alternative methods ⋮ Building and Fitting Non‐Gaussian Latent Variable Models via the Moment‐Generating Function ⋮ Fourier inference for stochastic volatility models with heavy-tailed innovations ⋮ Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison ⋮ Indirect inference for time series using the empirical characteristic function and control variates ⋮ A Novel Asymmetric Distribution with Power Tails

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