Estimation of stochastic volatility with LRD (Q929714): Difference between revisions

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+The Distribution of Realized Exchange Rate Volatility
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+Q4865042
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+Econometric estimation in long-range dependent volatility models: theory and practice
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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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+A Theory of the Term Structure of Interest Rates
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+Efficient parameter estimation for self-similar processes
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+ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE  MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
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+Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
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+Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
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+An equilibrium characterization of the term structure
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