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

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.

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Year of publication:	2015
Authors:	Stelzer, Robert ; Tosstorff, Thomas ; Wittlinger, Marc
Published in:	Statistics & Risk Modeling. - De Gruyter Oldenbourg, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 32.2015, 1, p. 1-24
Publisher:	De Gruyter Oldenbourg
Subject:	Generalized method of moments \| Ornstein–Uhlenbeck type process \| Lévy basis \| long memory \| stochastic volatility \| superpositions

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.1515/strm-2012-1152 [DOI]
Source:	Other ZBW resources

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