Volatility estimation in fractional Ornstein-Uhlenbeck models
نویسندگان
چکیده
منابع مشابه
Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
Continuous-time stochastic volatility models are becoming increasingly popular in finance because of their flexibility in accommodating most stylized facts of financial time series. However, their estimation is difficult because the likelihood function does not have a closed-form expression. In this paper we propose a characteristic function-based estimation method for non-Gaussian Ornstein-Uhl...
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ژورنال
عنوان ژورنال: Stochastic Models
سال: 2019
ISSN: 1532-6349,1532-4214
DOI: 10.1080/15326349.2019.1692668