Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models
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- scientific article; zbMATH DE number 2065158
Cites work
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- A simple approach to maximum intractable likelihood estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Generalized autoregressive conditional heteroscedasticity
- Long memory in continuous-time stochastic volatility models
- Stochastic differential equations applied to the study of geophysical and financial time series
- The detection and estimation of long memory in stochastic volatility
Cited in
(9)- Empirical research on stochastic volatility model with cross-data
- Inference for a change-point problem under an OU setting with unequal and unknown volatilities
- A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
- Estimating stochastic volatility: the rough side to equity returns
- A simulation study of the COVID-19 pandemic based on the Ornstein-Uhlenbeck processes
- Analysis of stock market data by using dynamic Fourier and wavelets techniques
- Modeling high frequency stock market data by using stochastic models
- Stochastic volatility models for ordinal-valued time series with application to finance
- Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
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