Estimation of the volatility persistence in a discretely observed diffusion model

DOI10.1016/j.spa.2007.09.004zbMath1142.62055OpenAlexW1982822432MaRDI QIDQ936399

Mathieu Rosenbaum

Publication date: 13 August 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.09.004

zbMATH Keywords

fractional Brownian motionscaling exponenthigh frequency datastochastic volatility modelsdiscrete samplingwavelet methodsadaptive estimation of quadratic functionals

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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