Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
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Publication:961440
DOI10.1016/J.CSDA.2008.02.026zbMATH Open1453.60005OpenAlexW2138369307MaRDI QIDQ961440FDOQ961440
Authors: Emanuele Taufer, Nikolai N. Leonenko 
Publication date: 30 March 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2008.02.026
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Cited In (19)
- Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes
- Characteristic function-based hypothesis tests under weak dependence
- On simulation of a fractional Ornstein-Uhlenbeck process of the second kind by the circulant embedding method
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- A density function connected with a non-negative self-decomposable random variable
- Option pricing and hedging for optimized Lévy driven stochastic volatility models
- Estimation of parameters of the Ornstein-Uhlenbeck type processes with continuum of moment conditions
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
- Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
- CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type
- Exact simulation of tempered stable Ornstein--Uhlenbeck processes
- Inference procedures for stable-Paretian stochastic volatility models
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Title not available (Why is that?)
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
- Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
- A bivariate normal inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets
- Fast simulation of tempered stable Ornstein-Uhlenbeck processes
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