Moment based estimation of supOU processes and a related stochastic volatility model

Stelzer Robert (), Tosstorff Thomas () and Wittlinger Marc ()
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Stelzer Robert: Institute of Mathematical Finance, Ulm University, Helmholtzstr. 18, 89081 Ulm, Germany
Tosstorff Thomas: Formerly at Faculty of Mathematics, Technische Universität München, Germany
Wittlinger Marc: Institute of Mathematical Finance, Ulm University, Helmholtzstr. 18, 89081 Ulm, Germany

Statistics & Risk Modeling, 2015, vol. 32, issue 1, 1-24

Abstract: 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.

Keywords: Generalized method of moments; Ornstein–Uhlenbeck type process; Lévy basis; long memory; stochastic volatility; superpositions (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:32:y:2015:i:1:p:1-24:n:2

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DOI: 10.1515/strm-2012-1152

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