Moment based estimation of supOU processes and a related stochastic volatility model
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Publication:2340426
DOI10.1515/strm-2012-1152zbMath1309.62145arXiv1305.1470OpenAlexW2963184273MaRDI QIDQ2340426
Marc Wittlinger, Robert Stelzer, Thomas Tosstorff
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
stochastic volatilitygeneralized method of momentslong memorysuperpositionsLévy basisOrnstein-Uhlenbeck type process
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