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Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes

Taufer, Emanuele and Leonenko, Nikolai N. ORCID: 2009. Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes. Journal of Statistical Planning and Inference 139 (9) , pp. 3050-3063. 10.1016/j.jspi.2009.02.007

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Continuous non-Gaussian stationary processes of the OU-type are becoming increasingly popular given their flexibility in modelling stylized features of financial series such as asymmetry, heavy tails and jumps. The use of non-Gaussian marginal distributions makes likelihood analysis of these processes unfeasible for virtually all cases of interest. This paper exploits the self-decomposability of the marginal laws of OU processes to provide explicit expressions of the characteristic function which can be applied to several models as well as to develop efficient estimation techniques based on the empirical characteristic function. Extensions to OU-based stochastic volatility models are provided.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Ornstein–Uhlenbeck process ; Lévy process ; self-decomposable distribution ; characteristic function ; estimation
Publisher: Elsevier
ISSN: 0378-3758
Last Modified: 18 Oct 2022 13:27

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