Moment based estimation of supOU processes and a related stochastic volatility model
| Autor: | Thomas Tosstorff, Marc Wittlinger, Robert Stelzer |
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| Jazyk: | angličtina |
| Rok vydání: | 2013 |
| Předmět: |
Statistics and Probability
Estimation Stochastic volatility Probability (math.PR) Estimator Mathematics - Statistics Theory Statistics Theory (math.ST) Moment (mathematics) Modeling and Simulation Long memory FOS: Mathematics Applied mathematics Statistics Probability and Uncertainty Mathematics - Probability Mathematics Generalized method of moments |
| Popis: | 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 consistent estimators and that it works very well in practice. Moreover, we discuss the influence of long memory effects. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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