On Poisson Sampling for Estimation in Sub-fractional Levy Stochastic Volatility Models
The paper studies quasi-maximum likelihood and generalized method of moments estimators of the parameter in the sub-fractional Levy inverse-Gaussian Ornstein-Uhlenbeck stochastic volatility model based on Poissonly sampled data.
Authors
- Jaya P. N. Bishwal (ORCID: https://orcid.org/0000-0002-8447-4574)
Institutions
- University of North Carolina at Charlotte (US)
Publication Details
- Journal
- European Journal of Statistics
- Published
- 2025-02-24
- DOI
- https://doi.org/10.28924/ada/stat.5.4
- Primary Topic
- Financial Risk and Volatility Modeling
- Type
- article
- Field-Weighted Citation Impact
- 0.00