Peng, Yi-Jie; Fu, Michael C.; Hu, Jian-Qiang - In: Quantitative Finance 14 (2013) 8, pp. 1399-1414
This paper studies the parameter estimation problem for Ornstein-Uhlenbeck stochastic volatility models driven by Lévy processes. Estimation is regarded as the principal challenge in applying these models since they were proposed by Barndorff-Nielsen and Shephard [<italic>J. R. Stat. Soc. Ser. B</italic>, 2001,...