The split-SV model

DOI10.1016/j.csda.2014.08.010zbMath1466.62198OpenAlexW2093639361WikidataQ115058704 ScholiaQ115058704MaRDI QIDQ1659144

Vladica S. Stojanović, Gradimir V. Milovanović, Biljana Č. Popović

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.08.010

zbMATH Keywords

convolutionsnoise-indicatorcontaminated Gaussian distributionempirical characteristic function estimationsplit-SV process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Noise-indicator nonnegative integer-valued autoregressive time series of the first order ⋮ A class of polynomials and connections with Bernoulli's numbers ⋮ Fourier inference for stochastic volatility models with heavy-tailed innovations

Uses Software

• OrthogonalPolynomials
• nortest
• FNN
• stochvol

Cites Work

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