Simulation and inference for stochastic volatility models driven by Levy processes
نویسندگان
چکیده
منابع مشابه
Inference for Diffusion Processes and Stochastic Volatility Models Ph.D. thesis
We discuss parameter estimation for discretely observed, ergodic diffusion processes where the diffusion coefficient does not depend on the parameter. We propose using an approximation of the continuous-time score function as an estimating function. The estimating function can be expressed in simple terms through the drift and the diffusion coefficient and is thus easy to calculate. Simulation ...
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ژورنال
عنوان ژورنال: Biometrika
سال: 2007
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/asm048