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ArticleCharacteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes

Emanuele Taufer2009

Article2009

Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes

Emanuele Taufer · Nikolai N. Leonenko

23 citations·0/0 files stored·Journal of Statistical Planning and Inference

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Stochastic processes and financial applications Probability and Statistical Research Financial Risk and Volatility Modeling

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References

2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1990The Variance Gamma (V.G.) Model for Share Market Returns 1997Processes of normal inverse Gaussian type 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling 2003Lévy processes in finance pricing financial derivatives 1997The normal inverse gaussian lévy process: simulation and approximation 2002Estimation of Continuous-Time Processes via the Empirical Characteristic Function

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Year2009

Typearticle

Published2009-03-01

VenueJournal of Statistical Planning and Inference

ISSN-L0378-3758

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jspi.2009.02.007

openalex_workW2011483774

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