Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein–Uhlenbeck processes
نویسندگان
چکیده
منابع مشابه
Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for financial data based on non-Gaussian Ornstein-Uhlenbeck (OU) processes. Our approach uses indirect inference methods: First, a quasi-likelihood for the actual data is estimated. This quasi-likelihood is based on an approximative Gaussian state space representation of the OUbased model...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2012
ISSN: 0167-9473
DOI: 10.1016/j.csda.2011.01.014