Estimation of the long memory parameter in stochastic volatility models by quadratic variations (Q4923219): Difference between revisions
From MaRDI portal
Set profile property. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Econometric estimation in long-range dependent volatility models: theory and practice / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stochastic volatility and fractional Brownian motion / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Central limit theorems for sequences of multiple stochastic integrals / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Variations and estimators for self-similarity parameters via Malliavin calculus / rank | |||
Normal rank |
Revision as of 12:29, 6 July 2024
scientific article; zbMATH DE number 6171099
Language | Label | Description | Also known as |
---|---|---|---|
English | Estimation of the long memory parameter in stochastic volatility models by quadratic variations |
scientific article; zbMATH DE number 6171099 |
Statements
Estimation of the long memory parameter in stochastic volatility models by quadratic variations (English)
0 references
6 June 2013
0 references
stochastic volatility model
0 references
multiple stochastic integral
0 references
fractional Brownian motion
0 references
Malliavin calculus
0 references
quadratic variation
0 references
Hurst parameter
0 references
self-similarity
0 references
statistical estimation
0 references
0 references
0 references