661 research outputs found
Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models.
No full textContinuous-time stochastic volatility models are becoming increasingly popular in finance because of their flexibility in accommodating most stylized facts of financial time series. However, their estimation is difficult because the likelihood function does not have a closed-form expression. In this paper we propose a characteristic function-based estimation method for non-Gaussian Ornstein-Uhlenbeck-based stochastic volatility models. After deriving explicit expressions of the characteristic functions for various cases of interest we analyze the asymptotic properties of the estimators and evaluate their performance by means of a simulation experiment. Finally, a real-data application shows that the superposition of two Ornstein-Uhlenbeck processes gives a good approximation to the dependence structure of the process.ornstein-uhlenbeck process; lévy process; stochastic volatility; characteristic function estimation
Least squares estimation of regression coefficients of singular random fields observed on a sphere
No full textWe present some results on the rate of convergence to the normal law of the least square estimates of the regression coefficient of random fields with long range dependence observed on a sphere
Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes
No full textThis paper presents the log-normal, log-gamma and log-negative inverted gamma scenarios in limit theorems for multifractal products of stochastic processes with long-range dependence.
Non-Gaussian scenarios for the heat equation with singular initial conditions
No full textAbstractNon-Gaussian limiting distributions of the rescaling solutions of the heat equation for non-Gaussian initial data with long-range dependence are discribed in terms of their multiple stochastic integral representations
Exact parabolic asymptotics for singular n-D Burgers’ random fields: Gaussian approximation
No full textAbstractThe rate of convergence (in the uniform Kolmogorov’s distance) for probability distributions of parabolically rescaled solutions of the multidimensional Burgers’ equation with random singular Gaussian initial data (with long-range dependence) to a limit Gaussian random field is discussed in this paper
On the Whittle estimators for some classes of continuous-parameter random processes and fields
No full textContinuous version of the Whittle contrast functional supplied with a specific weight function is proposed for the estimation of continuous-parameter stochastic processes and fields observed continuously. The results on consistency and asymptotic normality of the estimators are provided.Whittle estimators Minimum contrast estimators Consistency Asymptotic normality
Tracing Catalan modernities: the space of book publishing and the graphic arts
No full textItem does not contain fulltextBy relying on a case study of socio-economic restructuring in the sub-sectors of book publishing and the graphic arts, this dissertation proposes that each time Catalonia has acquired the political apparatus of quasi-state functions at the regional level it has severed its ties to a trans-Atlantic space of cultural flows, with direct consequences for its regional economic development trajectory. Through archival research the author traces the particular developmental pathway of Catalan book publishing and the graphic arts emerging during a mid-19th century period of cultural "reawakening", extending through the urban cultural milieu of Barcelona's turn-of-the-century artistic and literary avant-garde , and analyzes the impact on cultural production resulting from Catalonia's intellectual and political elite assuming regional autonomy in the WWI era. The study then focuses on the emergence of an anti-Franco cultural front in Barcelona in the post-war period, harbingers of a reworked cultural politics which situates Barcelona as a central publishing pivot within the broader Spanish-language world. Through extensive use of snow-ball interviews with publishers, literary agents, artists and writers in Barcelona, the author then attempts to reveal the current cultural and economic landscape for both Catalan- and Spanish-language publishers, intent on drawing conclusions vis a vis Barcelona's current role within an increasingly globalized publishing realm. By centering analysis on the norms and social conventions underlying the economic practices of agents in the Catalan publishing field, the author concludes that Barcelona's has lost some of its center of gravity within the wider Spanish-speaking world, and has entered a "post-dissident" phase in Catalan-language publishing characterized by extensive public sector involvement under the guise of neoliberal reform.University of California, 01 januari 1999Promotor : Onbekend, N.N
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