Estimation of the long memory parameter in stochastic volatility models by quadratic variations (Q4923219)
From MaRDI portal
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