Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
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Cites work
- A Bayesian analysis of some nonparametric problems
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- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Distribution functions of means of a Dirichlet process
- Exact sampling with coupled Markov chains and applications to statistical mechanics
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Long-memory continuous-time correlation models
- Multivariate supOU processes
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Quantile clocks
- Stochastic Volatility for Lévy Processes
- Superposition of Ornstein-Uhlenbeck type processes
- The dilogarithm function for complex argument
- The double CFTP method
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
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