Pages that link to "Item:Q2707194"
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The following pages link to Long memory in continuous-time stochastic volatility models (Q2707194):
Displayed 50 items.
- Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
- Inference theory for volatility functional dependencies (Q284294) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Econometric estimation in long-range dependent volatility models: theory and practice (Q299258) (← links)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- An approximate approach to fractional stochastic integration and its applications (Q467887) (← links)
- A Gaussian calculus for inference from high frequency data (Q470517) (← links)
- Implied and realized volatility: empirical model selection (Q470518) (← links)
- Affine fractional stochastic volatility models (Q470522) (← links)
- Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
- Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
- Fractional geometric mean-reversion processes (Q534760) (← links)
- Simple arbitrage (Q691114) (← links)
- Fractional stochastic differential equations with applications to finance (Q713467) (← links)
- Second-order asymptotic expansion for a non-synchronous covariation estimator (Q720740) (← links)
- Discretely sampled signals and the rough Hoff process (Q737171) (← links)
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
- Local polynomial Whittle estimation of perturbed fractional processes (Q738169) (← links)
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- Variational solutions for partial differential equations driven by a fractional noise (Q820065) (← links)
- Fractional integral equations and state space transforms (Q850753) (← links)
- A generalization of the Hull and White formula with applications to option pricing approximation (Q854283) (← links)
- Fractional Brownian motion with variable Hurst parameter: definition and properties (Q895895) (← links)
- The density of solutions to multifractional stochastic Volterra integro-differential equations (Q898364) (← links)
- Estimation of stochastic volatility with LRD (Q929714) (← links)
- Estimation of the volatility persistence in a discretely observed diffusion model (Q936399) (← links)
- On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory (Q963108) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Long memory behavior of returns after intraday financial jumps (Q1619836) (← links)
- Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes (Q1643803) (← links)
- Black-Scholes in a CEV random environment (Q1648901) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Horizon effect in the term structure of long-run risk-return trade-offs (Q1659133) (← links)
- Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
- Parameter estimation for long-memory stochastic volatility at discrete observation (Q1724169) (← links)
- Asymptotic theory for rough fractional Vasicek models (Q1738407) (← links)
- Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059) (← links)
- On optimal investment with processes of long or negative memory (Q1743336) (← links)
- Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients (Q1744224) (← links)
- Variational solutions for a class of fractional stochastic partial differential equations (Q1775134) (← links)
- Some long-range dependence processes arising from fluctuations of particle systems (Q1776822) (← links)
- Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion. (Q1780711) (← links)
- No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise (Q1987558) (← links)
- Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint (Q1990028) (← links)