Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility

A-Tier
Journal: Journal of Econometrics
Year: 2006
Volume: 134
Issue: 2
Pages: 605-644

Authors (2)

Griffin, J.E. (University College London) Steel, M.F.J. (University of Warwick)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Technical Details

RePEc Handle
repec:eee:econom:v:134:y:2006:i:2:p:605-644
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25