Raknerud, Arvid; Skare, Øivind - Statistisk Sentralbyrå, Government of Norway - 2009
This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for financial data based on non-Gaussian Ornstein-Uhlenbeck (OU) processes. Our approach uses indirect inference methods: First, a quasi-likelihood for the actual data is estimated. This...
