Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation
Author:
Affiliation:
1. Mathematics Institute, Federal University of Rio Grande do Sul, Porto Alegre, RS, Brazil
2. Mathematics Department, University of Brasília, Brasília, DF, Brazil
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/00949655.2015.1132318
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1. Lévy Processes and Stochastic Calculus
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4. Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models
5. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
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