Matches in SemOpenAlex for { <https://semopenalex.org/work/W2052807037> ?p ?o ?g. }
- W2052807037 endingPage "469" @default.
- W2052807037 startingPage "455" @default.
- W2052807037 abstract "We develop simulation schemes for the new classes of non-Gaussian pure jump Lévy processes for stochastic volatility. We write the price and volatility processes as integrals against a vector Lévy process, which makes series approximation methods directly applicable. These methods entail simulation of the Lévy increments and formation of weighted sums of the increments; they do not require a closed-form expression for a tail mass function or specification of a copula function. We also present a new, and apparently quite flexible, bivariate mixture-of-gammas model for the driving Lévy process. Within this setup, it is quite straightforward to generate simulations from a Lévy-driven continuous-time autoregressive moving average stochastic volatility model augmented by a pure-jump price component. Simulations reveal the wide range of different types of financial price processes that can be generated in this manner, including processes with persistent stochastic volatility, dynamic leverage, and jumps." @default.
- W2052807037 created "2016-06-24" @default.
- W2052807037 creator A5078291617 @default.
- W2052807037 creator A5086038624 @default.
- W2052807037 date "2006-10-01" @default.
- W2052807037 modified "2023-10-16" @default.
- W2052807037 title "Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models" @default.
- W2052807037 cites W1983135873 @default.
- W2052807037 cites W2021131280 @default.
- W2052807037 cites W2023581626 @default.
- W2052807037 cites W2031817855 @default.
- W2052807037 cites W2033192403 @default.
- W2052807037 cites W2051235503 @default.
- W2052807037 cites W2054864979 @default.
- W2052807037 cites W2066628672 @default.
- W2052807037 cites W2083685602 @default.
- W2052807037 cites W2117306570 @default.
- W2052807037 cites W2136215272 @default.
- W2052807037 cites W2138540172 @default.
- W2052807037 cites W2140540503 @default.
- W2052807037 cites W2143792696 @default.
- W2052807037 cites W2149327835 @default.
- W2052807037 cites W2166831536 @default.
- W2052807037 cites W2171440547 @default.
- W2052807037 cites W3121574170 @default.
- W2052807037 cites W3123321876 @default.
- W2052807037 cites W3124264635 @default.
- W2052807037 cites W3124585920 @default.
- W2052807037 cites W3125666236 @default.
- W2052807037 doi "https://doi.org/10.1198/073500106000000260" @default.
- W2052807037 hasPublicationYear "2006" @default.
- W2052807037 type Work @default.
- W2052807037 sameAs 2052807037 @default.
- W2052807037 citedByCount "65" @default.
- W2052807037 countsByYear W20528070372012 @default.
- W2052807037 countsByYear W20528070372013 @default.
- W2052807037 countsByYear W20528070372014 @default.
- W2052807037 countsByYear W20528070372015 @default.
- W2052807037 countsByYear W20528070372017 @default.
- W2052807037 countsByYear W20528070372018 @default.
- W2052807037 countsByYear W20528070372019 @default.
- W2052807037 countsByYear W20528070372020 @default.
- W2052807037 countsByYear W20528070372021 @default.
- W2052807037 countsByYear W20528070372022 @default.
- W2052807037 countsByYear W20528070372023 @default.
- W2052807037 crossrefType "journal-article" @default.
- W2052807037 hasAuthorship W2052807037A5078291617 @default.
- W2052807037 hasAuthorship W2052807037A5086038624 @default.
- W2052807037 hasConcept C105795698 @default.
- W2052807037 hasConcept C121332964 @default.
- W2052807037 hasConcept C149782125 @default.
- W2052807037 hasConcept C153083717 @default.
- W2052807037 hasConcept C159877910 @default.
- W2052807037 hasConcept C17618745 @default.
- W2052807037 hasConcept C2780695682 @default.
- W2052807037 hasConcept C28826006 @default.
- W2052807037 hasConcept C33923547 @default.
- W2052807037 hasConcept C41008148 @default.
- W2052807037 hasConcept C60092789 @default.
- W2052807037 hasConcept C62520636 @default.
- W2052807037 hasConcept C64341305 @default.
- W2052807037 hasConcept C85393063 @default.
- W2052807037 hasConcept C88757350 @default.
- W2052807037 hasConcept C91602232 @default.
- W2052807037 hasConceptScore W2052807037C105795698 @default.
- W2052807037 hasConceptScore W2052807037C121332964 @default.
- W2052807037 hasConceptScore W2052807037C149782125 @default.
- W2052807037 hasConceptScore W2052807037C153083717 @default.
- W2052807037 hasConceptScore W2052807037C159877910 @default.
- W2052807037 hasConceptScore W2052807037C17618745 @default.
- W2052807037 hasConceptScore W2052807037C2780695682 @default.
- W2052807037 hasConceptScore W2052807037C28826006 @default.
- W2052807037 hasConceptScore W2052807037C33923547 @default.
- W2052807037 hasConceptScore W2052807037C41008148 @default.
- W2052807037 hasConceptScore W2052807037C60092789 @default.
- W2052807037 hasConceptScore W2052807037C62520636 @default.
- W2052807037 hasConceptScore W2052807037C64341305 @default.
- W2052807037 hasConceptScore W2052807037C85393063 @default.
- W2052807037 hasConceptScore W2052807037C88757350 @default.
- W2052807037 hasConceptScore W2052807037C91602232 @default.
- W2052807037 hasIssue "4" @default.
- W2052807037 hasLocation W20528070371 @default.
- W2052807037 hasOpenAccess W2052807037 @default.
- W2052807037 hasPrimaryLocation W20528070371 @default.
- W2052807037 hasRelatedWork W2202466617 @default.
- W2052807037 hasRelatedWork W2359012312 @default.
- W2052807037 hasRelatedWork W2756923888 @default.
- W2052807037 hasRelatedWork W2767176313 @default.
- W2052807037 hasRelatedWork W2990837948 @default.
- W2052807037 hasRelatedWork W3126452883 @default.
- W2052807037 hasRelatedWork W3127236696 @default.
- W2052807037 hasRelatedWork W3177005804 @default.
- W2052807037 hasRelatedWork W4287838929 @default.
- W2052807037 hasRelatedWork W4288017135 @default.
- W2052807037 hasVolume "24" @default.
- W2052807037 isParatext "false" @default.
- W2052807037 isRetracted "false" @default.
- W2052807037 magId "2052807037" @default.