Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
DOI10.1016/j.csda.2011.01.014zbMath1255.62322MaRDI QIDQ1927109
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
Ornstein-Uhlenbeck process; quasi-likelihood estimation; asymptotic variance; simulation study; \texttt{R}; stochastic volatility model; exchange rate data
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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