Wei-Lin Xiao

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process Journal of Econometrics	2023-02-01	Paper
Parameter identification for mixed fractional Brownian motions with the drift parameter Physica A	2022-08-12	Paper
Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion Journal of Integral Equations and Applications	2021-07-05	Paper
Parameter identification for the discretely observed geometric fractional Brownian motion Journal of Statistical Computation and Simulation	2020-03-27	Paper
Asymptotic theory for rough fractional Vasicek models Economics Letters	2019-04-18	Paper
Asymptotic theory for estimating drift parameters in the fractional Vasicek model Econometric Theory	2019-03-27	Paper
Arbitrage with fractional Gaussian processes Physica A	2018-11-13	Paper
Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model Physica A	2018-11-13	Paper
The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate Physica A	2018-09-20	Paper
Least squares estimation for the drift parameters in the sub-fractional Vasicek processes Journal of Statistical Planning and Inference	2018-06-20	Paper
Rate of convergence for the maximum likelihood estimator in fractional Ornstein-Uhlenbeck processes	2015-10-28	Paper
Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets Communications in Statistics. Simulation and Computation	2015-07-29	Paper
Maximum-likelihood estimators in the mixed fractional Brownian motion Statistics	2014-03-14	Paper
Pricing equity warrants in a bifractional Brownian motion	2014-02-28	Paper
Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes Science China. Mathematics	2013-01-28	Paper
Pricing geometric average Asian warranties under fractional Brownian motion	2012-01-27	Paper
Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation Applied Mathematical Modelling	2011-11-11	Paper
Modeling chinese stock returns with stable distribution Mathematical and Computer Modelling	2011-11-11	Paper
Fuzzy pricing of american options on stocks with known dividends and its algorithm International Journal of Intelligent Systems	2011-07-27	Paper
Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm Computational Economics	2010-10-26	Paper
An amendatory branch and bound algorithm for MAD model with concave transaction costs and bounded assets constraints	2010-02-25	Paper
A fuzzy portfolio selection method based on possibilistic mean and variance Soft Computing	2009-09-18	Paper
Portfolio selection under possibilistic mean-variance utility and a SMO algorithm European Journal of Operational Research	2009-04-30	Paper

Research outcomes over time

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