Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models

DOI10.1016/J.PHYSA.2017.08.153OpenAlexW2756667470MaRDI QIDQ2148604FDOQ2148604

Maria C. Mariani, Osei K. Tweneboah, Md Al Masum Bhuiyan

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

zbMATH Keywords

maximum likelihood estimationfinancial time seriesOrnstein-Uhlenbeck processesstochastic volatility

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Title not available (Why is that?)
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• 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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