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math.ST2020★ 9 cited
On bounds for the mode and median of the generalized hyperbolic and related distributions
Robert E. Gaunt, Milan Merkle
Except for certain parameter values, a closed form formula for the mode of the generalized hyperbolic (GH) distribution is not available. In this paper, we exploit results from the…
math.ST2018
Bayesian Approach for Parameter Estimation of Continuous-Time Stochastic Volatility Models using Fourier Transform Methods
Milan Merkle, Yuri F. Saporito, Rodrigo S. Targino
We propose a two stage procedure for the estimation of the parameters of a fairly general, continuous-time stochastic volatility. An important ingredient of the proposed method is…
math.ST2007
Spatial medians, depth functions and multivariate Jensen's inequality
Djordje Baljozovic, Milan Merkle
For any given partial order in a -dimensional euclidean space, under mild regularity assumptions, we show that the intersection of closed (generalized) intervals containing more…