Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation-Reference-Cited by-同舟云学术

Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation

Published:2017-04-27 Issue:1 Volume:36 Page:75-87
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

James Lancelot F.¹,Müller Gernot²,Zhang Zhiyuan³

Affiliation:

1. Department of Information Systems, Business Statistics and Operations Management, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong SAR ()

2. Institute of Mathematics, Augsburg University, 86159 Augsburg, Germany ()

3. School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, 200433, China ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2015.1133427

Reference27 articles.

1. The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions

2. Report of the Editorsâ2009

3. Order Flow, Transaction Clock, and Normality of Asset Returns

4. Superposition of Ornstein--Uhlenbeck Type Processes

5. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

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