Stelzer, Robert; Tosstorff, Thomas; Wittlinger, Marc - In: Statistics & Risk Modeling 32 (2015) 1, pp. 1-24
Abstract After a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU stochastic volatility model we estimate these processes by using the generalized method of moments (GMM). We show that the GMM approach yields consistent estimators and that it works...