Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
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- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Long memory continuous time models
- Long memory in continuous-time stochastic volatility models
- Long memory processes and fractional integration in econometrics
- Modeling volatility persistence of speculative returns: a new approach
- Parameter estimation of stochastic process with long-range dependence and intermittency
- Possible long-range dependence in fractional random fields.
- Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
- Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
- Subordinated market index models: A comparison
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Cited in
(14)- On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
- On the Structure and Estimation of Reflection Positive Processes
- Statistical estimation for stationary models with tapered data
- Statistical inference for stationary linear models with tapered data
- Parameter estimation for Lévy-driven continuous-time linear models with tapered data
- Econometric estimation in long-range dependent volatility models: theory and practice
- Robust estimation for continuous-time linear models with memory
- On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model
- On the robustness to small trends of parameter estimation for continuous-time stationary models with memory
- Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
- A class of Gaussian hybrid processes for modeling financial markets
- Estimation of stochastic volatility with LRD
- Central and Noncentral Limit Theorems Arising from the Scattering Transform and Its Neural Activation Generalization
- On the Whittle estimators for some classes of continuous-parameter random processes and fields
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