Estimation of parameters of the Ornstein-Uhlenbeck type processes with continuum of moment conditions
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Publication:2807637
DOI10.1080/03610926.2013.804570zbMATH Open1337.62209OpenAlexW2190628971MaRDI QIDQ2807637FDOQ2807637
Xinsheng Zhang, Yanlin Tang, Yin-Feng Wang
Publication date: 25 May 2016
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.804570
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Cites Work
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- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
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- Parametric Estimation for Subordinators and Induced OU Processes
- Some stationary processes in discrete and continuous time
- Parametric estimation of discretely sampled Gamma-OU processes
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
Cited In (6)
- 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
- Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise
- Title not available (Why is that?)
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