Estimation of parameters of the Ornstein-Uhlenbeck type processes with continuum of moment conditions
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Cites work
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Asymptotic normality, strong mixing and spectral density estimates
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Empirical likelihood estimation of discretely sampled processes of OU type
- Exact simulation of IG-OU processes
- Fitting the variance-gamma model to financial data
- Generalization of GMM to a continuum of moment conditions
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- Parametric Estimation for Subordinators and Induced OU Processes
- Parametric estimation of discretely sampled Gamma-OU processes
- Processes of normal inverse Gaussian type
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
- Some stationary processes in discrete and continuous time
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
Cited in
(8)- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Estimation of unknown parameters of the Ornstein-Uhlenbeck process with jumps in the nonstationary case
- Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes
- Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
- CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type
- Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise
- Empirical likelihood estimation of discretely sampled processes of OU type
- scientific article; zbMATH DE number 6776536 (Why is no real title available?)
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