Moment based estimation of supOU processes and a related stochastic volatility model

DOI10.1515/STRM-2012-1152MaRDI QIDQ2340426zbMATH OpenOpenAlexFDO

Authors Robert Stelzer, Thomas Tosstorff, Marc Wittlinger

Publication date 17 April 2015

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.1470

zbMATH Keywords

generalized method of momentslong memoryLévy basisOrnstein-Uhlenbeck type processstochastic volatilitysuperpositions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Abstract: After a quick review of superpositions of OU (supOU) processes, integrated sup-OU processes and the supOU stochastic volatility model we estimate these processes by using the generalized method of moments (GMM). We show that the GMM approach yields consistent estimators and that it works very well in practice. Moreover, we discuss the influence of long memory effects.

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Cited in

(12)

• Weak dependence and GMM estimation of supOU and mixed moving average processes
• Intermittency and infinite variance: the case of integrated supou processes
• Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
• Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
• The multifaceted behavior of integrated supOU processes: the infinite variance case
• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
• The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
• The multivariate supOU stochastic volatility model
• Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes
• Dual stochastic descriptions of streamflow dynamics under model ambiguity through a Markovian embedding
• Mixed moving average field guided learning for spatio-temporal data
• Statistical inference for Lévy-driven graph supOU processes: from short- to long-memory in high-dimensional time series

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