Parametric estimation of discretely sampled Gamma-OU processes

DOI10.1007/S11425-006-2015-3MaRDI QIDQ867775zbMATH OpenOpenAlexFDO

Authors Shibin Zhang, Shuguang Sun, Xinsheng Zhang

Publication date 16 February 2007

Published in Science in China. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-006-2015-3

zbMATH Keywords

maximum likelihood estimationstochastic volatilityLaplace transformationtransition functionGamma-OU processLévy processLévy densitybackground driving Lévy process

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Statistical methods; economic indices and measures (91B82)

Recommendations

• Maximum likelihood estimation of discretely sampled Cauchy-OU processes
• Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes
• Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
• Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
• Empirical likelihood estimation of discretely sampled processes of OU type

Cites work

• scientific article; zbMATH DE number 1639858 (Why is no real title available?)
• scientific article; zbMATH DE number 3174032 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 758455 (Why is no real title available?)
• Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
• Distributions in the physical and engineering sciences. In 3 volumes
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Foundations of Modern Probability
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Numerical Inversion of Laplace Transforms of Probability Distributions
• The Fourier-series method for inverting transforms of probability distributions

Cited in

(15)

• scientific article; zbMATH DE number 5952265 (Why is no real title available?)
• Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes
• Exact simulation of IG-OU processes
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
• Incorporating the stochastic process setup in parameter estimation
• Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
• On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
• Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
• Estimation of parameters of the Ornstein-Uhlenbeck type processes with continuum of moment conditions
• Empirical likelihood estimation of discretely sampled processes of OU type
• Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes
• Maximum likelihood estimation for symmetric \(\alpha\)-stable Ornstein-Uhlenbeck processes
• Maximum likelihood estimation of discretely sampled Cauchy-OU processes
• Gamma-related Ornstein–Uhlenbeck processes and their simulation*
• Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination

Describes a project that uses

Uses Software

• Algorithm 368

This page was built for publication: Parametric estimation of discretely sampled Gamma-OU processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q867775)