Raknerud, Arvid; Skare, Øivind - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3260-3275
An indirect inference method is implemented for a class of stochastic volatility models for financial data based on non-Gaussian Ornstein–Uhlenbeck (OU) processes. First, a quasi-likelihood estimator is derived from an approximative Gaussian state space representation of the OU model. Next,...