Jeantheau, Thierry A link between complete models with stochastic volatility and ARCH models. (English) Zbl 1098.91052 Finance Stoch. 8, No. 1, 111-131 (2004). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G70 60J60 62M05 62M10 PDFBibTeX XMLCite \textit{T. Jeantheau}, Finance Stoch. 8, No. 1, 111--131 (2004; Zbl 1098.91052) Full Text: DOI
Genon-Catalot, Valentine; Jeantheau, Thierry; Laredo, Catherine Conditional likelihood estimators for hidden Markov models and stochastic volatility models. (English) Zbl 1053.62088 Scand. J. Stat. 30, No. 2, 297-316 (2003). Reviewer: N. M. Zinchenko (Kyïv) MSC: 62M05 62P05 62M20 91B28 PDFBibTeX XMLCite \textit{V. Genon-Catalot} et al., Scand. J. Stat. 30, No. 2, 297--316 (2003; Zbl 1053.62088) Full Text: DOI
Genon-Catalot, Valentine; Jeantheau, Thierry; Larédo, Catherine Stochastic volatility models as hidden Markov models and statistical applications. (English) Zbl 0966.62048 Bernoulli 6, No. 6, 1051-1079 (2000). MSC: 62M05 62P05 62F10 PDFBibTeX XMLCite \textit{V. Genon-Catalot} et al., Bernoulli 6, No. 6, 1051--1079 (2000; Zbl 0966.62048) Full Text: DOI Euclid
Genon-Catalot, Valentine; Jeantheau, Thierry; Laredo, Catherine Parameter estimation for discretely observed stochastic volatility models. (English) Zbl 0942.62096 Bernoulli 5, No. 5, 855-872 (1999). MSC: 62M05 62P05 60J70 PDFBibTeX XMLCite \textit{V. Genon-Catalot} et al., Bernoulli 5, No. 5, 855--872 (1999; Zbl 0942.62096) Full Text: DOI HAL