Functional diffusion driven stochastic volatility model

DOI10.3150/24-BEJ1753MaRDI QIDQ7022647zbMATH OpenFDO

Authors Piotr Kokoszka, Neda Mohammadi, Haonan Wang, Shixuan Wang

Publication date 25 February 2025

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/bernoulli/volume-31/issue-2/Functional-diffusion-driven-stochastic-volatility-model/10.3150/24-BEJ1753.full

zbMATH Keywords

functional time seriesstochastic volatilityintraday price curvesItô diffusion process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Functional data analysis (62R10)

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Cited in

(2)

• Dependence properties of stochastic volatility models
• Functional diffusion driven stochastic volatility model

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