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Moment based estimation of supOU processes and a related stochastic volatility model

Author

Listed:
  • Stelzer Robert

    (Institute of Mathematical Finance, Ulm University, Helmholtzstr. 18, 89081 Ulm, Germany)

  • Tosstorff Thomas

    (Formerly at Faculty of Mathematics, Technische Universität München, Germany)

  • Wittlinger Marc

    (Institute of Mathematical Finance, Ulm University, Helmholtzstr. 18, 89081 Ulm, Germany)

Abstract

After a quick review of superpositions of OU (supOU) processes, integrated supOU 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.

Suggested Citation

  • Stelzer Robert & Tosstorff Thomas & Wittlinger Marc, 2015. "Moment based estimation of supOU processes and a related stochastic volatility model," Statistics & Risk Modeling, De Gruyter, vol. 32(1), pages 1-24, April.
    • Handle: RePEc:bpj:strimo:v:32:y:2015:i:1:p:1-24:n:2
    DOI: 10.1515/strm-2012-1152
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    References listed on IDEAS

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