Affine fractional stochastic volatility models (Q470522): Difference between revisions

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+https://doi.org/10.1007/s10436-010-0165-3
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+W2028867268
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+Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Long memory in continuous-time stochastic volatility models
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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+NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
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+Implied and realized volatility: empirical model selection
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