Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes-Reference-Cited by-同舟云学术

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Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes

Published:2021-11-09 Issue: Volume: Page:
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Wu Yanfeng¹^ORCID,Hu Jianqiang²^ORCID,Yang Xiangyu²

Affiliation:

1. School of Finance Jiangxi University of Finance and Economics Nanchang China

2. Department of Management Science Fudan University Shanghai China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12630

Reference24 articles.

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

2. Lévy–Driven Continuous–Time ARMA Processes

3. Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

4. References

5. Term Structure Models Driven by General Levy Processes

Cited by 1 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. Blackbox Simulation Optimization;Journal of the Operations Research Society of China;2024-07-30

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