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zbMath1126.91357MaRDI QIDQ3374324

Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 9 March 2006

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

subordination Kalman filter superposition Lévy process leverage quadratic variation power variation quarticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

Related Items (2)

Unnamed Item ⋮ Markov chain Monte Carlo methods for stochastic volatility models.

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