Modelling long-range-dependent Gaussian processes with application in continuous-time financial models

DOI10.1239/JAP/1082999079zbMath1046.60038OpenAlexW2106887461MaRDI QIDQ4819471

J. T. Gao

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1082999079

zbMATH Keywords

parameter estimationstochastic volatilitydiffusion processlong-range dependencecontinuous-time model

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sample path properties (60G17)

Related Items (13)

Econometric estimation in long-range dependent volatility models: theory and practice ⋮ Statistical inference for stationary linear models with tapered data ⋮ On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model ⋮ Central and Noncentral Limit Theorems Arising from the Scattering Transform and Its Neural Activation Generalization ⋮ Robust estimation for continuous-time linear models with memory ⋮ Estimation of stochastic volatility with LRD ⋮ On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models ⋮ On the robustness to small trends of parameter estimation for continuous-time stationary models with memory ⋮ On the Whittle estimators for some classes of continuous-parameter random processes and fields ⋮ Parameter estimation for Lévy-driven continuous-time linear models with tapered data ⋮ On the Structure and Estimation of Reflection Positive Processes ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications ⋮ Statistical estimation for stationary models with tapered data

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