Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes

DOI10.1016/j.csda.2011.01.014zbMath1255.62322MaRDI QIDQ1927109

Arvid Raknerud, Øivind Skare

Publication date: 30 December 2012

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

Full work available at URL: https://doi.org/10.1016/j.csda.2011.01.014

zbMATH Keywords

Ornstein-Uhlenbeck process; quasi-likelihood estimation; asymptotic variance; simulation study; \texttt{R}; stochastic volatility model; exchange rate data

Mathematics Subject Classification ID

62-04: Software, source code, etc. for problems pertaining to statistics

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

62M05: Markov processes: estimation; hidden Markov models

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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Uses Software

• R
• Armadillo
• RcppArmadillo
• BRENT

Cites Work

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