Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps-Reference-Cited by-同舟云学术

Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps

Published:2019-12-20 Issue:2 Volume:72 Page:471-484
ISSN:0160-5682
Container-title:Journal of the Operational Research Society
language:en
Short-container-title:Journal of the Operational Research Society

Author:

Qu Yan¹,Dassios Angelos¹,Zhao Hongbiao²³

Affiliation:

1. Department of Statistics, University of Warwick, Coventry, United Kingdom;

2. Department of Financial Statistics and Risk Management, School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China;

3. Shanghai Institute of International Finance and Economics, Shanghai, China

Publisher

Informa UK Limited

Subject

Marketing,Management Science and Operations Research,Strategy and Management,Management Information Systems

Link

https://www.tandfonline.com/doi/pdf/10.1080/01605682.2019.1657368

Reference58 articles.

1. Estimating the degree of activity of jumps in high frequency data

2. Testing whether jumps have finite or infinite activity

3. Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

4. Processes of normal inverse Gaussian type

5. Some stationary processes in discrete and continuous time

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