Parametric estimation of discretely sampled Gamma-OU processes

DOI10.1007/s11425-006-2015-3zbMath1151.91711OpenAlexW1594047165MaRDI QIDQ867775

Shuguang Sun, Shibin Zhang, Xin Sheng Zhang

Publication date: 16 February 2007

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-006-2015-3

zbMATH Keywords

maximum likelihood estimationstochastic volatilityLévy processLaplace transformationtransition functionLévy densitybackground driving Lévy processGamma-OU process

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Point estimation (62F10) Statistical methods; economic indices and measures (91B82)

Related Items

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination, On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes, Gamma-related Ornstein–Uhlenbeck processes and their simulation*, Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes, Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market, Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes, Maximum likelihood estimation for symmetric α-stable Ornstein–Uhlenbeck processes, Estimation of Parameters of the Ornstein-Uhlenbeck Type Processes with Continuum of Moment Conditions, Empirical likelihood estimation of discretely sampled processes of OU type, Exact simulation of IG-OU processes, Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

Uses Software

• Algorithm 368

Cites Work

• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• The Fourier-series method for inverting transforms of probability distributions
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Foundations of Modern Probability
• Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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