Stochastic volatility and fractional Brownian motion (Q2485787)

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Stochastic volatility and fractional Brownian motion
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    title
    Stochastic volatility and fractional Brownian motion (English)
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    author
    Arnaud Gloter
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    Marc Hoffmann
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    publication date
    5 August 2005
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    Mathematics Subject Classification ID
    62P05
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    62M05
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    60J65
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    zbMATH DE Number
    2192526
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    zbMATH Keywords
    discrete sampling
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    high-frequency data
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    fractional Brownian motion
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    contrast estimators
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