Estimation of the volatility persistence in a discretely observed diffusion model (Q936399): Difference between revisions

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+On the law of the iterated logarithm for Gaussian processes
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+Some recent developments in stochastic volatility modelling
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+ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE  MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
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+Estimating Long Memory in Volatility
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+TESTING FOR LONG MEMORY IN VOLATILITY
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+Quadratic variations and estimation of the local Hölder index of a Gaussian process
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+Martingale methods in financial modelling.
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+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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+Besov regularity of stochastic integrals with respect to the fractional Brownian motion with parameter \(H>1/2\)
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+The memory of stochastic volatility models
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