Simulation and inference for stochastic volatility models driven by Levy processes
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Processes with independent increments; Lévy processes (60G51) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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(24)- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- Inference procedures for stable-Paretian stochastic volatility models
- Unbiased parameter inference for a class of partially observed Lévy-process models
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Generalized fractional Lévy processes with fractional Brownian motion limit
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- Simulation and Inference for Stochastic Processes with YUIMA
- Integrating Volatility Clustering Into Exponential Lévy Models
- Inference in Lévy-type stochastic volatility models
- Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering
- A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process
- Simulated Likelihood Approximations for Stochastic Volatility Models
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
- A least squares estimator for Lévy-driven moving averages based on discrete time observations
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
- Modeling of measurement error in financial returns data
- Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
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