Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods

DOI10.1016/j.spl.2019.108600zbMath1459.62200arXiv1812.10556OpenAlexW2971819332WikidataQ127285193 ScholiaQ127285193MaRDI QIDQ2288759

Yuri F. Saporito, Milan J. Merkle, Rodrigo S. Targino

Publication date: 20 January 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.10556

zbMATH Keywords

parameter estimationBayesian estimationHeston modelstochastic volatility modelFourier methodsCuchiero-Teichmann estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Bayesian inference (62F15)

Related Items (1)

A stochastic Schumacher diffusion process: probability characteristics computation and statistical analysis

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