Fitting Generalized Hyperbolic processes - New insights for generating initial values

DOI10.1080/03610918.2016.1175624MaRDI QIDQ4593898zbMATH OpenOpenAlexFDO

Authors

Publication date 15 November 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2016.1175624

zbMATH Keywords

fitting methodsgeneralized hyperbolicinitial valuessimplified method of moments

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(1)

• Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation

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