Tempered stable Ornstein-Uhlenbeck processes: a practical view
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- Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
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More about this item
KeywordsOrnstein-Uhlenbeck processes; tempered stable distributions; tempered infinitely divisible distributions; integrated processes; acceptance-rejection sampling; maximum likelihood estimation.;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
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