Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
From MaRDI portal
Publication:1945501
DOI10.1007/s11425-012-4511-yzbMath1261.62076MaRDI QIDQ1945501
Publication date: 8 April 2013
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-012-4511-y
Related Items
Cites Work
- Test for parameter change in discretely observed diffusion processes
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
- Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Parametric estimation of discretely sampled Gamma-OU processes
- Consistency of change point estimators for symmetrical stable distribution with parameters shift
- Empirical likelihood estimation of discretely sampled processes of OU type
- Exact simulation of IG-OU processes
- Inference of change-point in single index models
- On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
- Processes of normal inverse Gaussian type
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- Weak convergence of the sequential empirical processes of residuals in ARMA models
- A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions
- On the functional central limit theorem for stationary processes
- Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Superposition of Ornstein--Uhlenbeck Type Processes
- Survival models for heterogeneous populations derived from stable distributions
- Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
- Some stationary processes in discrete and continuous time
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
- Option Pricing With V. G. Martingale Components1
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- The Cusum Test for Parameter Change in Time Series Models
- The Variance Gamma Process and Option Pricing
- Exact simulation of tempered stable Ornstein–Uhlenbeck processes
- Parametric Estimation for Subordinators and Induced OU Processes
- Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
- Probability
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
