Estimation of the volatility persistence in a discretely observed diffusion model (Q936399): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 02:39, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Estimation of the volatility persistence in a discretely observed diffusion model |
scientific article |
Statements
Estimation of the volatility persistence in a discretely observed diffusion model (English)
0 references
13 August 2008
0 references
stochastic volatility models
0 references
discrete sampling
0 references
high frequency data
0 references
fractional Brownian motion
0 references
scaling exponent
0 references
adaptive estimation of quadratic functionals
0 references
wavelet methods
0 references