Inference in Lévy-type stochastic volatility models
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Publication:3590750
DOI10.1239/AAP/1183667622zbMATH Open1127.62104OpenAlexW2020182481MaRDI QIDQ3590750FDOQ3590750
Authors: Jeannette Woerner 
Publication date: 3 September 2007
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1183667622
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Cites Work
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- Time changes for Lévy processes
- Variational Sums for Additive Processes
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- Sign-Invariant Random Variables and Stochastic Processes with Sign-invariant Increments
Cited In (23)
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- Power and multipower variation: inference for high frequency data
- Statistical estimation of Lévy-type stochastic volatility models
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
- Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes
- Central limit theorems for the non-parametric estimation of time-changed Lévy models
- Power variation from second order differences for pure jump semimartingales
- Inference for random coefficient volatility models
- Asymptotically optimal discretization of hedging strategies with jumps
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- Estimating Jump Activity Using Multipower Variation
- Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
- Stochastic Volatility for Lévy Processes
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
- Bipower Variation for Gaussian Processes with Stationary Increments
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Dynamic tail inference with log-Laplace volatility
- Nonparametric estimation of time-changed Lévy models under high-frequency data
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