Parametric estimation of discretely sampled Gamma-OU processes
DOI10.1007/S11425-006-2015-3zbMATH Open1151.91711OpenAlexW1594047165MaRDI QIDQ867775FDOQ867775
Xinsheng Zhang, Shuguang Sun, Shibin 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
maximum likelihood estimation[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]stochastic volatilityLaplace transformationtransition function[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+density&go=Go L��vy density][https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=background+driving+L%EF%BF%BD%EF%BF%BDvy+process&go=Go background driving L��vy process]Gamma-OU process
Point estimation (62F10) Non-Markovian processes: estimation (62M09) Statistical methods; economic indices and measures (91B82)
Cites Work
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Cited In (13)
- Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
- Exact simulation of IG-OU processes
- Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
- Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
- Gamma-related Ornstein–Uhlenbeck processes and their simulation*
- Estimation of Parameters of the Ornstein-Uhlenbeck Type Processes with Continuum of Moment Conditions
- Maximum likelihood estimation for symmetric α-stable Ornstein–Uhlenbeck processes
- Title not available (Why is that?)
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- Empirical likelihood estimation of discretely sampled processes of OU type
- Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes
- Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
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