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arXiv · 1305.1470

Moment based estimation of supOU processes and a related stochastic volatility model

Robert Stelzer·Thomas Tosstorff·Marc Wittlinger
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Abstract

After a quick review of superpositions of OU (supOU) processes, integrated sup\-OU 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 very well in practice. Moreover, we discuss the influence of long memory effects.

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Robert Stelzer, Thomas Tosstorff, Marc Wittlinger. 2013-05-07. Moment based estimation of supOU processes and a related stochastic volatility model. https://arxiv.org/abs/1305.1470

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