Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes

Emanuele Taufer; Nikolai Leonenko

doi:10.1016/j.jspi.2009.02.007

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Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes

Emanuele Taufer Nikolai Leonenko

Year: 2009 Journal: Journal of Statistical Planning and Inference Vol: 139 (9)Pages: 3050-3063 Publisher: Elsevier BV

DOI: 10.1016/j.jspi.2009.02.007

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Keywords:

Mathematics Stylized fact Ornstein–Uhlenbeck process Gaussian Normal-inverse Gaussian distribution Applied mathematics Econometrics Volatility (finance) Marginal distribution Function (biology) Gaussian process Statistical physics Stochastic process Gaussian random field Random variable Statistics Economics

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Complex Systems and Time Series Analysis

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Market Dynamics and Volatility

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes

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