Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration
نویسندگان
چکیده
منابع مشابه
Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
Ornstein-Uhlenbeck models are continuous-time processes which have broad applications in finance as, e.g., volatility processes in stochastic volatility models or spread models in spread options and pairs trading. The paper presents a least squares estimator for the model parameter in a multivariate Ornstein-Uhlenbeck model driven by a multivariate regularly varying Lévy process with infinite v...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2013
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2012.08.019