Statistical estimation of Lévy-type stochastic volatility models
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 8 (2012)
Issue (Month): 2 (May)
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Web page: http://www.springerlink.com/link.asp?id=112370
Time-changed Lévy model; Stochastic volatility; Random clock; Non-parametric estimation; Parameter estimation based on high-frequency data; C14; C32; C51;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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