Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
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Bibliographic InfoArticle provided by Australian Statistical Publishing Association Inc. in its journal Australian & New Zealand Journal of Statistics.
Volume (Year): 44 (2002)
Issue (Month): 3 (09)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=1369-1473
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- Dinghai Xu & John Knight & Tony S. Wirjanto, 2011.
"Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach,"
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- Emanuele Taufer & Nikolai Leonenko & Marco Bee, 2009. "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models," DISA Working Papers 0907, Department of Computer and Management Sciences, University of Trento, Italy, revised 02 Dec 2009.
- Emanuele Taufer, 2008. "Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes," DISA Working Papers 0805, Department of Computer and Management Sciences, University of Trento, Italy, revised 07 Jul 2008.
- Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
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