Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
DOI10.1007/S10463-007-0130-8zbMATH Open1294.62184OpenAlexW1977424816MaRDI QIDQ734413FDOQ734413
Authors: Sylvia Frühwirth-Schnatter, L. Sögner 
Publication date: 13 October 2009
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-007-0130-8
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- scientific article; zbMATH DE number 5494145
Monte Carlo methods (65C05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Non-Markovian processes: estimation (62M09) Stochastic models in economics (91B70)
Cites Work
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Cited In (11)
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
- Stochastic volatility and stochastic leverage
- Moment based estimation of supOU processes and a related stochastic volatility model
- Parametric estimation of discretely sampled Gamma-OU processes
- Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
- Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Particle Markov Chain Monte Carlo Methods
- Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
- METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS
- Some recent developments in stochastic volatility modelling
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