Modelling long-range-dependent Gaussian processes with application in continuous-time financial models (Q4819471): Difference between revisions

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scientific article; zbMATH DE number 2103379

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English	Modelling long-range-dependent Gaussian processes with application in continuous-time financial models	scientific article; zbMATH DE number 2103379

Statements

instance of

scholarly article

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title

Modelling long-range-dependent Gaussian processes with application in continuous-time financial models (English)

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published in

Journal of Applied Probability

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publication date

24 September 2004

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zbMATH Keywords

continuous-time model

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diffusion process

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long-range dependence

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parameter estimation

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stochastic volatility

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author

J. T. Gao

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1239/jap/1082999079

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cites work

Possible long-range dependence in fractional random fields.

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Dynamic models of long-memory processes driven by Lévy noise

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Long memory processes and fractional integration in econometrics

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The Pricing of Options and Corporate Liabilities

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Time series: theory and methods

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Long memory continuous time models

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Long memory in continuous-time stochastic volatility models

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Efficient parameter estimation for self-similar processes

0 references

Modeling volatility persistence of speculative returns: a new approach

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Q4092717

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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Q4857359

0 references

Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.

0 references

Parameter Estimation of Stochastic Processes with Long-range Dependence and Intermittency

0 references

A risky asset model with strong dependence through fractal activity time

0 references

Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence

0 references

Subordinated market index models: A comparison

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Existence and uniqueness theorems for fBm stochastic differential equations

0 references

Q4004325

0 references

Fractional Brownian Motions, Fractional Noises and Applications

0 references

Q4905685

0 references

Q4794152

0 references

Q4938228

0 references

Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications

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Q3999270

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Gaussian semiparametric estimation of long range dependence

0 references

The memory of stochastic volatility models

0 references

Convex Analysis

0 references

Q4220653

0 references

An equilibrium characterization of the term structure

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Identifiers

zbMATH Open document ID

1046.60038

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DOI

10.1239/jap/1082999079

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4819471

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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1239/jap/1082999079
+Normal rank
@@ Property / OpenAlex ID @@
+W2106887461
@@ Property / OpenAlex ID: W2106887461 / rank @@
+Normal rank
@@ Property / cites work @@
+Possible long-range dependence in fractional random fields.
+Normal rank
@@ Property / cites work @@
+Dynamic models of long-memory processes driven by Lévy noise
+Normal rank
@@ Property / cites work @@
+Long memory processes and fractional integration in econometrics
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods
@@ Property / cites work: Time series: theory and methods / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory continuous time models
@@ Property / cites work: Long memory continuous time models / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
+Normal rank
@@ Property / cites work @@
+Modeling volatility persistence of speculative returns: a new approach
+Normal rank
@@ Property / cites work @@
+Q4092717
@@ Property / cites work: Q4092717 / rank @@
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+Q4857359
@@ Property / cites work: Q4857359 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
+Normal rank
@@ Property / cites work @@
+Parameter Estimation of Stochastic Processes with Long-range Dependence and Intermittency
+Normal rank
@@ Property / cites work @@
+A risky asset model with strong dependence through fractal activity time
+Normal rank
@@ Property / cites work @@
+Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
+Normal rank
@@ Property / cites work @@
+Subordinated market index models: A comparison
@@ Property / cites work: Subordinated market index models: A comparison / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness theorems for fBm stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794152
@@ Property / cites work: Q4794152 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4938228
@@ Property / cites work: Q4938228 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
+Normal rank
@@ Property / cites work @@
+Q3999270
@@ Property / cites work: Q3999270 / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+The memory of stochastic volatility models
@@ Property / cites work: The memory of stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4220653
@@ Property / cites work: Q4220653 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank