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Statistical estimation of Lévy-type stochastic volatility models
José E. Figueroa-López
Research output
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Contribution to journal
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Article
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peer-review
13
Scopus citations
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Dive into the research topics of 'Statistical estimation of Lévy-type stochastic volatility models'. Together they form a unique fingerprint.
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Mathematics
Sampling Scheme
100%
Clustering
100%
Mean Square
100%
Square Sense
100%
Lvy Process
100%
Wiener Process
100%
Stochastic Volatility
100%
Stochastic Volatility Model
100%
Lvy Measure
100%
High-Frequency Data
100%
Asset Price
100%
Type Estimator
100%
Fat Tail
100%
Return Distribution
100%
Keyphrases
Statistical Estimation
100%
Stochastic Volatility Model
100%
Random Clock
100%
Sampling Scheme
33%
Mean Square
33%
Fat Tails
33%
Recovery Problem
33%
Lvy Processes
33%
High-frequency Data
33%
Irregular Sampling
33%
Jump Phenomenon
33%
Threshold Type
33%
Asset Prices
33%
Wiener Process
33%
Return Distribution
33%
Log-returns
33%
Stochastic Volatility
33%
Discrete Observations
33%
Volatility Clustering
33%