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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

Abstract: Barndorff-Nielsen and Shephard (2001) proposed a class of stochastic volatility models in which the volatility follows the Ornstein–Uhlenbeck process driven...

Date: 2020
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DOI: 10.21307/stattrans-2020-019

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Handle: RePEc:exl:29stat:v:21:y:2020:i:2:p:173-187