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Distributional properties of continuous time processes: from CIR to bates

, , and . AStA Advances in Statistical Analysis, 107 (3): 397-419 (September 2023)
DOI: 10.1007/s10182-022-00459-

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Artificial neural network small-sample-bias-corrections of the AR(1) parameter close to unit root, , and . Statistica Neerlandica, (Jul 31, 2024)Publisher Copyright: © 2024 The Author(s). Statistica Neerlandica published by John Wiley & Sons Ltd on behalf of Netherlands Society for Statistics and Operations Research..Simulating the Cox--Ingersoll--Ross and Heston Processes: Matching the First Four Moments, , and . Journal of Computational Finance, (2022)Distributional properties of continuous time processes: from CIR to bates, , and . AStA Advances in Statistical Analysis, 107 (3): 397-419 (September 2023)