Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models
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Publication:2148604
DOI10.1016/J.PHYSA.2017.08.153OpenAlexW2756667470MaRDI QIDQ2148604FDOQ2148604
Authors: Md Al Masum Bhuiyan, Osei K. Tweneboah, Maria C. Mariani 
Publication date: 24 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2017.08.153
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Title not available (Why is that?)
- A simple approach to maximum intractable likelihood estimation
- The detection and estimation of long memory in stochastic volatility
- Long memory in continuous-time stochastic volatility models
- Stochastic differential equations applied to the study of geophysical and financial time series
Cited In (6)
- Stochastic volatility models for ordinal-valued time series with application to finance
- A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
- Modeling high frequency stock market data by using stochastic models
- Analysis of stock market data by using dynamic Fourier and wavelets techniques
- Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
- A simulation study of the COVID-19 pandemic based on the Ornstein-Uhlenbeck processes
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