Inference procedures for stable-Paretian stochastic volatility models

DOI10.1016/j.mcm.2011.09.044zbMath1255.91308MaRDI QIDQ1931045

Publication date: 24 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.09.044

zbMATH Keywords

estimation; characteristic function; stable-Paretian distribution; first order stationary auto-regressive processes

Mathematics Subject Classification ID

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

91B70: Stochastic models in economics

60G52: Stable stochastic processes

Related Items

Indirect inference for time series using the empirical characteristic function and control variates, Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes, Fourier inference for stochastic volatility models with heavy-tailed innovations

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