Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11203-008-9021-8.pdf
Reference23 articles.
1. Asmussen S, Rosiński J (2001) Approximations of small jumps of Lévy processes with a view towards simulation. J Appl Proba 38: 482–493
2. Bailey DH, Swarztrauber PN (1991) The fractional fourier transform and applications. SIAM Rev 33(3): 389–404
3. Barndorff-Nielsen OE (1988) Processes of normal inverse Gaussian type. Finance Stochastic 2: 41–68
4. Barndorff-Nielsen OE, Shepard N (2001) Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. J R Stat Soc B 63: 167–241
5. Barndorff-Nielsen OE, Shepard N (2002) Normal modified stable processes. Theory Probab Math Stat 2: 1–20
Cited by 39 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Higher order approximation of option prices in Barndorff-Nielsen and Shephard models;Quantitative Finance;2024-09-10
2. Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market;Mathematics and Computers in Simulation;2024-01
3. A Bayesian Forecast Framework for Climatic Parameters in Geotechnical Modeling;Geo-Risk 2023;2023-07-20
4. Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework;Applied Mathematical Finance;2023-07-04
5. Determining the background driving process of the Ornstein-Uhlenbeck model;Electronic Journal of Differential Equations;2023-03-27
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3