Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes |
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Authors: | Emanuele Taufer Nikolai Leonenko |
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Institution: | 1. Department of Computer and Management Sciences, University of Trento, Via Inama 5, 38100 Trento, Italy;2. School of Mathematics, University of Cardiff, Senghennydd Road, CF2 4YH Cardiff, UK |
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Abstract: | Continuous non-Gaussian stationary processes of the OU-type are becoming increasingly popular given their flexibility in modelling stylized features of financial series such as asymmetry, heavy tails and jumps. The use of non-Gaussian marginal distributions makes likelihood analysis of these processes unfeasible for virtually all cases of interest. This paper exploits the self-decomposability of the marginal laws of OU processes to provide explicit expressions of the characteristic function which can be applied to several models as well as to develop efficient estimation techniques based on the empirical characteristic function. Extensions to OU-based stochastic volatility models are provided. |
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Keywords: | 62F10 62F12 62M05 |
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