ESTIMATION OF GEOMETRIC FRACTIONAL BROWNIAN MOTION PERTURBED BY STOCHASTIC VOLATILITY MODEL (Q2796368): Difference between revisions
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Latest revision as of 11:07, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ESTIMATION OF GEOMETRIC FRACTIONAL BROWNIAN MOTION PERTURBED BY STOCHASTIC VOLATILITY MODEL |
scientific article |
Statements
ESTIMATION OF GEOMETRIC FRACTIONAL BROWNIAN MOTION PERTURBED BY STOCHASTIC VOLATILITY MODEL (English)
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24 March 2016
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geometric fractional Brownian motion
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fractional Ornstein-Uhlenbeck process
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long memory stochastic volatility
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innovation algorithm
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