Realized Laplace transforms for estimation of jump diffusive volatility models
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Publication:738034
DOI10.1016/j.jeconom.2011.06.016zbMath1441.62889MaRDI QIDQ738034
Iaryna Grynkiv, Viktor Todorov, George Tauchen
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.06.016
60G51: Processes with independent increments; Lévy processes
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
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