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Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method

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  • John L. Knight
  • Stephen E. Satchell
  • Jun Yu

Abstract

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Suggested Citation

  • John L. Knight & Stephen E. Satchell & Jun Yu, 2002. "Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 44(3), pages 319-335, September.
  • Handle: RePEc:bla:anzsta:v:44:y:2002:i:3:p:319-335
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    Citations

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    Cited by:

    1. Taufer, Emanuele & Leonenko, Nikolai & Bee, Marco, 2011. "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 55(8), pages 2525-2539, August.
    2. Dinghai Xu & John Knight & Tony S. Wirjanto, 2011. "Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(3), pages 469-488, Summer.
    3. Kotchoni, Rachidi, 2012. "Applications of the characteristic function-based continuum GMM in finance," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3599-3622.
    4. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    5. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier.
    6. 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.
    7. Dinghai Xu & John Knight, 2013. "Stochastic volatility model under a discrete mixture-of-normal specification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 216-239, April.
    8. Jun Yu & Renate Meyer, 2006. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 361-384.
    9. Christian Francq & Simos G. Meintanis, 2016. "Fourier-type estimation of the power GARCH model with stable-Paretian innovations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(4), pages 389-424, May.
    10. Stojanović, Vladica S. & Popović, Biljana Č. & Milovanović, Gradimir V., 2016. "The Split-SV model," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 560-581.
    11. 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.
    12. repec:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0373-8 is not listed on IDEAS
    13. 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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