Characteristic function estimation of Ornstein–Uhlenbeck-based stochastic volatility models

Emanuele Taufer; Nikolai Leonenko; Marco Bee

doi:10.1016/j.csda.2011.02.016

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Characteristic function estimation of Ornstein–Uhlenbeck-based stochastic volatility models

Emanuele Taufer Nikolai Leonenko Marco Bee

Year: 2011 Journal: Computational Statistics & Data Analysis Vol: 55 (8)Pages: 2525-2539 Publisher: Elsevier BV

DOI: 10.1016/j.csda.2011.02.016

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Keywords:

Ornstein–Uhlenbeck process Stylized fact Stochastic volatility Mathematics Estimator Volatility (finance) Applied mathematics Econometrics Gaussian Characteristic function (probability theory) Stochastic process Mathematical optimization Probability density function Statistics Economics

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Complex Systems and Time Series Analysis

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

Characteristic function estimation of Ornstein–Uhlenbeck-based stochastic volatility models

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