Inference procedures for stable-Paretian stochastic volatility models
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Publication:1931045
DOI10.1016/j.mcm.2011.09.044zbMath1255.91308MaRDI QIDQ1931045
Emanuele Taufer, Simos G. Meintanis
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
estimation; characteristic function; stable-Paretian distribution; first order stationary auto-regressive processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B70: Stochastic models in economics
60G52: Stable stochastic processes
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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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