Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility

DOI10.1016/j.jeconom.2005.07.007zbMath1418.62381OpenAlexW2025132716MaRDI QIDQ278198

Mark F. J. Steel, Jim E. Griffin

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.007

zbMATH Keywords

stock priceMarkov chain Monte CarlosuperpositionLévy processBayesian inferenceleverage effectreturn jumpsrisk premiumvolatility jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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