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- W4289887752 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." @default.
- W4289887752 created "2022-08-05" @default.
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- W4289887752 date "2013-05-07" @default.
- W4289887752 modified "2023-09-28" @default.
- W4289887752 title "Moment based estimation of supOU processes and a related stochastic volatility model" @default.
- W4289887752 doi "https://doi.org/10.48550/arxiv.1305.1470" @default.
- W4289887752 hasPublicationYear "2013" @default.
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