Fourier inference for stochastic volatility models with heavy-tailed innovations

DOI10.1007/s00362-016-0803-6zbMath1408.62175WikidataQ60430055 ScholiaQ60430055MaRDI QIDQ1785815

Bernhard Klar, Simos G. Meintanis, Bruno Ebner

Publication date: 1 October 2018

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0803-6

zbMATH Keywords

characteristic function; minimum distance estimation; heavy-tailed distribution; stochastic volatility model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B70: Stochastic models in economics

Uses Software

• R
• fBasics
• BB
• RMetrics
• VarianceGamma