Search Results - subject:"characteristic function"

Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006

principal branch, as is done in most software packages, the characteristic function can become discontinuous, leading to … logarithm. Under the same restrictions we prove that in an alternative formulation of the characteristic function the principal … show that Matytsin’s SVJJ model has a closed-form characteristic function, though the complex discontinuities that arise …

Persistent link: https://www.econbiz.de/10011257149

A general closed-form spread option pricing formula

Caldana, Ruggero; Fusai, Gianluca - In: Journal of banking & finance 37 (2013) 12, pp. 4893-4906

Persistent link: https://www.econbiz.de/10010342187

Local stochastic volatility with jumps : analytical approximations

Pagliarani, Stefano; Pascucci, Andrea - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-35

Persistent link: https://www.econbiz.de/10010243616

On the characteristic function for asymmetric Student distributions

Nadarajah, Saralees; Chan, Stephen; Afuecheta, Emmanuel - In: Economics letters 121 (2013) 2, pp. 271-274

Persistent link: https://www.econbiz.de/10010347125

Stochastic volatility model under a discrete mixture-of-normal specification

Xu, Dinghai; Knight, John - In: Journal of Economics and Finance 37 (2013) 2, pp. 216-239

alternative procedure based on the characteristic function (CF). We derive analytical expressions for the joint CF and present our …

Persistent link: https://www.econbiz.de/10010998979

Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process

Tanaka, Katsuto - In: Statistical Inference for Stochastic Processes 16 (2013) 3, pp. 173-192

We discuss some inference problems associated with the fractional Ornstein–Uhlenbeck (fO–U) process driven by the fractional Brownian motion (fBm). In particular, we are concerned with the estimation of the drift parameter, assuming that the Hurst parameter <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$H$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>H</mi> </math> </EquationSource> </InlineEquation> is known and is in <InlineEquation ID="IEq2"> <EquationSource...</equationsource></inlineequation></equationsource></equationsource></inlineequation>

Persistent link: https://www.econbiz.de/10010992898

On the goodness-of-fit procedure for normality based on the empirical characteristic function for ranked set sampling data

Balakrishnan, N.; Brito, M.; Quiroz, A. - In: Metrika 76 (2013) 2, pp. 161-177

characteristic function, discussed in the case of i.i.d. data, for instance, in Epps and Pulley (Biometrika 70:723–726, <CitationRef …

Persistent link: https://www.econbiz.de/10010995220

LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS

PAGLIARANI, STEFANO; PASCUCCI, ANDREA - In: International Journal of Theoretical and Applied … 16 (2013) 08, pp. 1350050-1

result is an expansion of the characteristic function, which is worked out in the Fourier space. Combined with standard …

Persistent link: https://www.econbiz.de/10011011288

Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri

Chen, Bin; Hong, Yongmiao - 2013

the conditional characteristic function, which often has a convenient closed-form or can be approximated accurately for …

Persistent link: https://www.econbiz.de/10010892076

Testing for the Markov Property in Time Series

Chen, Bin; Hong, Yongmiao - 2013

modelling. We develop a test for the Markov property using the conditional characteristic function embedded in a frequency …

Persistent link: https://www.econbiz.de/10010892106