Fractional stochastic volatility model

DOI10.1111/JTSA.12749MaRDI QIDQ7025622zbMATH OpenFDO

Authors Shuping Shi, Xiao-Bin Liu, Jun Yu

Publication date 19 February 2025

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12749

zbMATH Keywords

fractional Brownian motionlong memoryrough volatilityspectral densitystochastic volatilityvariance-covariance matrix

Mathematics Subject Classification ID

Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes (62Mxx) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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