A pseudo-likelihood estimator of the Ornstein–Uhlenbeck parameters from suprema observations

DOI10.1007/S11203-024-09307-4MaRDI QIDQ6493986zbMATH OpenFDO

Authors Christophette Blanchet-Scalliet, Diana Dorobantu

Publication date 29 April 2024

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11203-024-09307-4

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites work

• An equilibrium characterization of the term structure
• Basic properties of strong mixing conditions. A survey and some open questions
• Dynamical pricing of weather derivatives
• Inequalities for the Zeros of the Airy Functions
• Joint law of an Ornstein-Uhlenbeck process and its supremum
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• On modelling and pricing weather derivatives
• Pairs trading
• Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Spherical Ornstein-Uhlenbeck processes

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