Stochastic differential equations with generalized stochastic volatility and statistical estimators

DOI10.1090/TPMS/1030MaRDI QIDQ4686483zbMATH OpenOpenAlexWikidataFDO

Authors M. Bel Hadj Khlifa, K. V. Ral'chenko, Mounir Zili, Yuliya S. Mishura, G. M. Shevchenko

Publication date 10 October 2018

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/tpms/1030

zbMATH Keywords

drift parameter estimationmaximum likelihood estimatorstochastic differential equationstochastic volatilitystrong consistencyweak and strong solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

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Cited in

(5)

• A generalised stochastic volatility in mean VAR
• Statistical Methods for Stochastic Differential Equations
• Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility
• Stochastic volatility: approximation and goodness-of-fit test
• Statistical modeling for stochastic differential equations

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