Estimation of the long memory parameter in stochastic volatility models by quadratic variations (Q4923219): Difference between revisions
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Latest revision as of 11:42, 30 July 2024
scientific article; zbMATH DE number 6171099
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the long memory parameter in stochastic volatility models by quadratic variations |
scientific article; zbMATH DE number 6171099 |
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Estimation of the long memory parameter in stochastic volatility models by quadratic variations (English)
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6 June 2013
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stochastic volatility model
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multiple stochastic integral
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fractional Brownian motion
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Malliavin calculus
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quadratic variation
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Hurst parameter
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self-similarity
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statistical estimation
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