Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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The empirical characteristic function and its applications
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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Cited In (14)

Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes
Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations
Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
Fourier-type estimation of the power GARCH model with stable-Paretian innovations
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A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions
Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function
Inference procedures for stable-Paretian stochastic volatility models
On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications
The split-SV model
Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes
Estimation of Characteristic Functions of Functionals of Multidimensional Gaussian Random Variables

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