Simulation and inference for stochastic volatility models driven by Lévy processes
MPS Gander, DA Stephens - Biometrika, 2007 - academic.oup.com
… A key step in the simulation-based inference procedures we present is the construction of series representations of Lévy processes and their integrals. Barndorff-Nielsen & Shephard (…
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… A key step in the simulation-based inference procedures we present is the construction of series representations of Lévy processes and their integrals. Barndorff-Nielsen & Shephard (…