Estimation of the long memory parameter in stochastic volatility models by quadratic variations (Q4923219): Difference between revisions

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+A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
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+Econometric estimation in long-range dependent volatility models: theory and practice
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+Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
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@@ Property / cites work @@
+Stochastic volatility and fractional Brownian motion
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@@ Property / cites work @@
+Central limit theorems for sequences of multiple stochastic integrals
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+Variations and estimators for self-similarity parameters via Malliavin calculus
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@@ Property / full work available at URL @@
+https://doi.org/10.1515/rose.2011.012
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+W1991089486
@@ Property / OpenAlex ID: W1991089486 / rank @@
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