Simulation and inference for stochastic volatility models driven by Lévy processes

Gander, Matthew P. S., Stephens, David A. . Biometrika 2007. 94 (3) :627-646

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Bibtex

@article{CIS-243110,
  Author = {Gander, Matthew P. S. and Stephens, David A.},
  Title = {Simulation and inference for stochastic volatility models driven by Lévy processes},
  Journal = {Biometrika},
  Volume = {94},
  Number = {3},
  Year = {2007},
  Pages = {627--646},
  Keywords = {Fractional, Ornstein-Uhlenbeck process, long-memory, power decay process}
}

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