Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
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- Taufer, Emanuele & Leonenko, Nikolai & Bee, Marco, 2011.
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- 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.
- repec:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0373-8 is not listed on IDEAS
- Tore Selland Kleppe & Hans J. Skaug, 2008. "Building and Fitting Non-Gaussian Latent Variable Models via the Moment-Generating Function," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(4), pages 664-676.
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