Trajectory fitting estimation for integrated Ornstein-Uhlenbeck process driven by Lévy process
From MaRDI portal
Cites work
- A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric -stable motions
- A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- An equilibrium characterization of the term structure
- Asymptotic behaviour of trajectory fitting estimators for certain non-ergodic SDE
- Asymptotic behaviours for the trajectory fitting estimator in Ornstein-Uhlenbeck process with linear drift
- Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
- Estimation and pricing under long-memory stochastic volatility
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 1106828 (Why is no real title available?)
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
- Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
- Long memory in continuous-time stochastic volatility models
- Minimum distance parameter estimation for Ornstein-Uhlenbeck processes driven by Lévy process
- Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean
- On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
- On minimum \(L_ 1\)-norm estimate of the parameter of the Ornstein- Uhlenbeck process
- On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
- On the theory of the Brownian motion.
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
- Parameter estimation for Ornstein-Uhlenbeck processes driven by -stable Lévy motions
- Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
- Processes of normal inverse Gaussian type
- Some time change representations of stable integrals, via predictable transformations of local martingales
- Statistical inference for ergodic diffusion processes.
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
This page was built for publication: Trajectory fitting estimation for integrated Ornstein-Uhlenbeck process driven by Lévy process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6927885)
