Pages that link to "Item:Q470523"

The following pages link to Estimation and pricing under long-memory stochastic volatility (Q470523):

Displaying 48 items.

• Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility (Q470525) (← links)
• Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices (Q828017) (← links)
• Fractional Brownian motion with variable Hurst parameter: definition and properties (Q895895) (← 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)
• Parameter estimation for long-memory stochastic volatility at discrete observation (Q1724169) (← links)
• Asymptotic theory for rough fractional Vasicek models (Q1738407) (← links)
• Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388) (← links)
• Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise (Q1987558) (← links)
• Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model (Q2059103) (← links)
• Statistical inference for nonergodic weighted fractional Vasicek models (Q2062450) (← links)
• Maximum likelihood estimation for sub-fractional Vasicek model (Q2066932) (← links)
• Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets (Q2110494) (← links)
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
• The closed-form option pricing formulas under the sub-fractional Poisson volatility models (Q2137510) (← links)
• Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
• On a class of estimation and test for long memory (Q2153233) (← links)
• A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework (Q2160923) (← links)
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations (Q2199706) (← links)
• Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point (Q2214238) (← links)
• Fractional Brownian motion with two-variable Hurst exponent (Q2223840) (← links)
• CEV model equipped with the long-memory (Q2226287) (← links)
• Statistical inference for Vasicek-type model driven by Hermite processes (Q2274256) (← links)
• Maximum likelihood estimation in the non-ergodic fractional Vasicek model (Q2337822) (← links)
• Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process (Q2405678) (← links)
• Fractional Liu uncertain differential equation and its application to finance (Q2680010) (← links)
• Delta-hedging in fractional volatility models (Q2694770) (← links)
• Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (Q4553805) (← links)
• Sequential Monte Carlo for fractional stochastic volatility models (Q4554435) (← links)
• Volatility is rough (Q4554473) (← links)
• Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (Q4579834) (← links)
• Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
• ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (Q4629570) (← links)
• Optimal Sequential Change Detection for Fractional Diffusion-Type Processes (Q4918559) (← links)
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
• A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) (Q5078109) (← links)
• Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion (Q5080070) (← links)
• Forecasting with fractional Brownian motion: a financial perspective (Q5092662) (← links)
• APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (Q5147996) (← links)
• Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model (Q5218384) (← links)
• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case (Q5222190) (← links)
• HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS (Q5234012) (← links)
• Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117) (← links)
• Gaussian and hermite Ornstein–Uhlenbeck processes (Q5880403) (← links)
• Sandwiched SDEs with unbounded drift driven by Hölder noises (Q6068847) (← links)
• Least squares estimations for approximate fractional vasicek model driven by a semimartingale (Q6104221) (← links)
• An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process (Q6161602) (← links)
• Self-normalized Cramér-type moderate deviations for explosive Vasicek model (Q6204782) (← links)