Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models

Journal of Business and Economic Statistics

Volumn 24, Issue 4, 2006, Pages 455-469

  Todorov, Viktor ^a   Tauchen, George ^a  

^a DUKE UNIVERSITY   (United States)

Author keywords

Diffusions; L vy process; Quadratic variation; Realized variance; Simulation; Stochastic volatility

Indexed keywords

EID: 33750523409     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000260     Document Type: Article

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