Application of iterated filtering to stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck process
Piotr Szczepocki ()
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Piotr Szczepocki: Department of Statistical Methods, Institute of Statistics and Demography, Faculty of Economics and Sociology, University of Lodz, Poland
Statistics in Transition New Series, 2020, vol. 21, issue 2, 173-187
Barndorff-Nielsen and Shephard (2001) proposed a class of stochastic volatility models in which the volatility follows the Ornstein–Uhlenbeck process driven...
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