Work

On Poisson Sampling for Estimation in Sub-fractional Levy Stochastic Volatility Models

Year: 2025

Type: article

Abstract: 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.

Source: European Journal of Statistics

DOI: 10.28924/ada/stat.5.4

Author: Jaya P.N. Bishwal

Institution: University of North Carolina at Charlotte

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

OpenAlex ID: W4407884028

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