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After a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU stochastic volatility model we estimate these processes by using the generalized method of moments (GMM). We show that the GMM approach yields co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::333a1a51a91a0ef0d6e86a02801a9f66
http://arxiv.org/abs/1305.1470
http://arxiv.org/abs/1305.1470
