Moment based estimation of supOU processes and a related stochastic volatility model
Probability
2015-01-26 v2 Statistics Theory
Statistics Theory
Abstract
After a quick review of superpositions of OU (supOU) processes, integrated sup\-OU 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.
Keywords
Cite
@article{arxiv.1305.1470,
title = {Moment based estimation of supOU processes and a related stochastic volatility model},
author = {Robert Stelzer and Thomas Tosstorff and Marc Wittlinger},
journal= {arXiv preprint arXiv:1305.1470},
year = {2015}
}