On the transition laws of p-tempered $$\alpha $$ α -stable OU-processes
Author
Abstract
Suggested Citation
DOI: 10.1007/s00180-020-01055-2
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Shibin Zhang & Xinsheng Zhang, 2008. "Exact Simulation of IG-OU Processes," Methodology and Computing in Applied Probability, Springer, vol. 10(3), pages 337-355, September.
- Byczkowski, T. & Nolan, J. P. & Rajput, B., 1993. "Approximation of Multidimensional Stable Densities," Journal of Multivariate Analysis, Elsevier, vol. 46(1), pages 13-31, July.
- Yoshihiro Tashiro, 1977. "On methods for generating uniform random points on the surface of a sphere," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 29(1), pages 295-300, December.
- Michael Grabchak & Gennady Samorodnitsky, 2010. "Do financial returns have finite or infinite variance? A paradox and an explanation," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 883-893.
- Bianchi, Michele Leonardo & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2011. "Tempered infinitely divisible distributions and processes," Working Paper Series in Economics 26, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Ole E. Barndorff‐Nielsen & Neil Shephard, 2001. "Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kawai Reiichiro & Masuda Hiroki, 2011. "Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes," Monte Carlo Methods and Applications, De Gruyter, vol. 17(3), pages 279-300, January.
- Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
- Piergiacomo Sabino & Nicola Cufaro Petroni, 2022. "Fast simulation of tempered stable Ornstein–Uhlenbeck processes," Computational Statistics, Springer, vol. 37(5), pages 2517-2551, November.
- Kevin W. Lu, 2022. "Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 365-396, July.
- Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
- Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso, 2020. "A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets," Papers 2011.04256, arXiv.org.
- Thomas Gkelsinis & Alex Karagrigoriou, 2020. "Theoretical Aspects on Measures of Directed Information with Simulations," Mathematics, MDPI, vol. 8(4), pages 1-13, April.
- Madan, Dilip B. & Wang, King, 2021. "The structure of financial returns," Finance Research Letters, Elsevier, vol. 40(C).
- Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
- Dimitrios D. Thomakos & Michail S. Koubouros, 2011.
"The Role of Realised Volatility in the Athens Stock Exchange,"
Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 87-124, March - J.
- Dimitrios Thomakos & Michail Koubouros, 2008. "The Role of Realized Volatility in the Athens Stock Exchange," Working Papers 0020, University of Peloponnese, Department of Economics.
- Michael Grabchak, 2015. "Inversions of Lévy Measures and the Relation Between Long and Short Time Behavior of Lévy Processes," Journal of Theoretical Probability, Springer, vol. 28(1), pages 184-197, March.
- Taufer, Emanuele & Leonenko, Nikolai, 2009.
"Simulation of Lvy-driven Ornstein-Uhlenbeck processes with given marginal distribution,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2427-2437, April.
- Emanuele Taufer & Nikolai Leonenko, 2007. "Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution," Quaderni DISA 123, Department of Computer and Management Sciences, University of Trento, Italy, revised 23 May 2007.
- Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007.
"Practical Volatility and Correlation Modeling for Financial Market Risk Management,"
NBER Chapters, in: The Risks of Financial Institutions, pages 513-544,
National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).
- Vladimir Tsenkov, 2009. "Financial Markets Modelling," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 87-96.
- Lars Stentoft, 2008.
"American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 540-582, Fall.
- Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, Department of Economics and Business Economics, Aarhus University.
- Fred Espen Benth & Martin Groth & Rodwell Kufakunesu, 2007. "Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 347-363.
- Torben G. ANDERSEN & Tim BOLLERSLEV & Nour MEDDAHI, 2002.
"Correcting The Errors : A Note On Volatility Forecast Evaluation Based On High-Frequency Data And Realized Volatilities,"
Cahiers de recherche
21-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- ANDERSEN, Torben G. & BOLLERSLEV, Tim & MEDDAHI, Nour, 2002. "Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," Cahiers de recherche 2002-21, Universite de Montreal, Departement de sciences economiques.
- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,"
Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
- Neil Shephard & Ole Barndorff-Nielsen, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
- Audrino, Francesco & Corsi, Fulvio, 2010.
"Modeling tick-by-tick realized correlations,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
- Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen.
- Julie Lyng Forman & Michael Sørensen, 2008.
"The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes,"
Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465, September.
- Michael Sørensen & Julie Lyng Forman, 2007. "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers 2007-28, Department of Economics and Business Economics, Aarhus University.
More about this item
Keywords
Tempered stable distributions; Ornstein–Uhlenbeck processes; Rejection sampling;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:compst:v:36:y:2021:i:2:d:10.1007_s00180-020-01055-2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.