Estimation of the volatility persistence in a discretely observed diffusion model (Q936399): Difference between revisions
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Revision as of 21:08, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the volatility persistence in a discretely observed diffusion model |
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Estimation of the volatility persistence in a discretely observed diffusion model (English)
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13 August 2008
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stochastic volatility models
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discrete sampling
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high frequency data
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fractional Brownian motion
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scaling exponent
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adaptive estimation of quadratic functionals
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wavelet methods
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