Estimation in Barndorff Nielsen- Shephard Ornstein–Uhlenbeck Stochastic Volatility Models

Jaya P. N. Bishwal

doi:10.1007/978-3-031-03861-7_9

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Estimation in Barndorff Nielsen- Shephard Ornstein–Uhlenbeck Stochastic Volatility Models

Jaya P. N. Bishwal

Year: 2022 Pages: 359-372

DOI: 10.1007/978-3-031-03861-7_9

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Keywords:

Ornstein–Uhlenbeck process Stochastic volatility Statistical physics Mathematics Gaussian Econometrics Intermittency Volatility (finance) Stochastic process Statistics Physics Thermodynamics

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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

Insurance, Mortality, Demography, Risk Management

Social Sciences → Social Sciences → Demography

Estimation in Barndorff Nielsen- Shephard Ornstein–Uhlenbeck Stochastic Volatility Models

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