Least squares estimator for Ornstein―Uhlenbeck processes driven by α-stable motions

By Yaozhong Hu, Hongwei Long. 2009

109 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/961fa91511eaed88fa801093bbf41887b89b9898

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Hiroki Masuda
2. Hongwei Long

In Finance

1. Hiroki Masuda
2. Hongwei Long
3. V. Todorov

Citations in the corpus

• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes (2010, background): “Hu and Long [7] recently studied the LSE for λ > 0 when Z is symmetric β-stable, with supposing that γ0 = 0 from the beginning.”
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises (2009, background): “In this paper, in contrast to Hu and Long (2009), we assume that the time interval is fixed and θ0 is not necessarily positive.”