Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
From MaRDI portal
background driving Lévy processchronometercumulant functioneconometricsintegrated varianceLévy densityLévy processoption pricingOrnstein-Uhlenbeck processstochastic volatility
Stationary stochastic processes (60G10) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)
Recommendations
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
- Ornstein-Uhlenbeck type processes with heavy distribution tails
- Ornstein-Uhlenbeck process with non-Gaussian structure
- Ornstein–Uhlenbeck Processes and Extensions
Cites work
- Empirical modeling of exchange rate dynamics
- Generalized gamma convolutions and related classes of distributions and densities
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On the Lévy measure of the lognormal and the logCauchy distributions
- Probability measures, Lévy measures and analyticity in time
- Processes of normal inverse Gaussian type
- Superposition of Ornstein-Uhlenbeck type processes
- The Distribution of Realized Exchange Rate Volatility
Cited in
(57)- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- American option valuation under time changed tempered stable Lévy processes
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- The split-SV model
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
- Moments of the asset price for the Barndorff-Nielsen and Shephard model
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- Inference procedures for stable-Paretian stochastic volatility models
- Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
- Fractionally integrated Gauss-Markov processes and applications
- Smiles \& smirks: volatility and leverage by jumps
- Exact simulation of normal tempered stable processes of OU type with applications
- Fast simulation of tempered stable Ornstein-Uhlenbeck processes
- Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
- Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes
- Non-Gaussian limit theorem for non-linear Langevin equations driven by Lévy noise
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
- Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes
- Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
- Optimal bond portfolios with fixed time to maturity
- CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type
- Sample path moderate deviations for the cumulative fluid produced by an increasing number of exponential on-off sources
- Super- and subdiffusive positions in fractional Klein-Kramers equations
- Estimation of parameters of the Ornstein-Uhlenbeck type processes with continuum of moment conditions
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
- Recent results in the theory and applications of CARMA processes
- Some recent developments in stochastic volatility modelling
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
- Modeling high frequency stock market data by using stochastic models
- Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
- Random acceleration process on finite intervals under stochastic restarting
- Efficient simulation of Lévy-driven point processes
- Selfdecomposable fields
- Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation
- Non-standard Skorokhod convergence of Lévy-driven convolution integrals in Hilbert spaces
- A spread-return mean-reverting model for credit spread dynamics
- Pricing of the time-change risks
- The Ornstein-Uhlenbeck process and variance gamma process: parameter estimation and simulations
- Local subexponentiality and self-decomposability
- Inertial Lévy flights in bounded domains
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
- Exact simulation of a truncated Lévy subordinator
- Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
- Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
- Ole Eiler Barndorff-Nielsen and financial econometrics
- Singular properties of high-order spectral densities of supOU processes
- Dickman type stochastic processes with short- and long- range dependence
- Trajectory fitting estimation for integrated Ornstein-Uhlenbeck process driven by Lévy process
- On approximations of subordinators in L^p and the simulation of tempered stable distributions
- Simulation of supOU processes with specified marginal distribution and correlation function
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
- Mortality modelling with Lévy processes
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
This page was built for publication: Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4828199)
