Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations

DOI10.1080/03610918.2011.582561zbMath1489.62261OpenAlexW2017413576MaRDI QIDQ2905725

Hiroki Masuda, Reiichiro Kawai

Publication date: 28 August 2012

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.582561

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Random number generation in numerical analysis (65C10)

Related Items

On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes, Measuring Impact of Random Jumps Without Sample Path Generation, Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling, Tempered fractional Brownian motion: wavelet estimation, modeling and testing, Option pricing and hedging for optimized Lévy driven stochastic volatility models, On the simulation of general tempered stable Ornstein–Uhlenbeck processes, Numerical inverse Lévy measure method for infinite shot noise series representation, Numerical aspects of shot noise representation of infinitely divisible laws and related processes, Modelling tail risk with tempered stable distributions: an overview, Sample path generation of Lévy-driven continuous-time autoregressive moving average processes, On simulation of tempered stable random variates, On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes, On fractional Lévy processes: tempering, sample path properties and stochastic integration, Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes, LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL, Implied risk aversion: an alternative rating system for retail structured products, Fast simulation of tempered stable Ornstein-Uhlenbeck processes, Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes, Discussion of `On simulation and properties of the stable law' by Devroye and James

Cites Work

• Unnamed Item
• Unnamed Item
• On simulation of tempered stable random variates
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Tempered stable Lévy motion and transient super-diffusion
• Tempering stable processes
• Empirical likelihood estimation of discretely sampled processes of OU type
• Exact simulation of IG-OU processes
• On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes
• On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
• Generating Random Variates Using Transformations with Multiple Roots
• A Method for Simulating Stable Random Variables
• Random variate generation for exponentially and polynomially tilted stable distributions
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model