Statistical estimation of Lévy-type stochastic volatility models
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Publication:470521
DOI10.1007/s10436-010-0150-xzbMath1298.62146MaRDI QIDQ470521
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-010-0150-x
stochastic volatility; nonparametric estimation; parameter estimation based on high-frequency data; random clock; time-changed Lévy model
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62G05: Nonparametric estimation
62M09: Non-Markovian processes: estimation
60H30: Applications of stochastic analysis (to PDEs, etc.)
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