Simulation and inference for stochastic volatility models driven by Lévy processes

Biometrika

Volumn 94, Issue 3, 2007, Pages 627-646

  Gander, Matthew P S ^a   Stephens, David A ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b MCGILL UNIVERSITY   (Canada)

Author keywords

Fractional; Long memory; Ornstein Uhlenbeck process; Power decay process; Volatility

Indexed keywords

EID: 34548526235     PISSN: 00063444     EISSN: 14643510     Source Type: Journal    
DOI: 10.1093/biomet/asm048     Document Type: Article

References (16)

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