Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets

DOI10.1186/s13662-022-03743-3MaRDI QIDQ2110494

Xianggang Lu, Lin Sun, Jianxin Chen

Publication date: 21 December 2022

Published in: Advances in Continuous and Discrete Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-022-03743-3

zbMATH Keywords

asymptotic behavior; discrete observations; least-squares estimation; bipower variation; geometric fractional Brownian motion

Mathematics Subject Classification ID

34-XX: Ordinary differential equations

39-XX: Difference and functional equations

Uses Software

• YUIMA
• SimEstFBM

Cites Work

• Unnamed Item
• Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
• Measuring the roughness of random paths by increment ratios
• Affine fractional stochastic volatility models
• Estimation and pricing under long-memory stochastic volatility
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
• Option pricing in fractional Brownian markets
• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
• Parameter estimation in fractional diffusion models
• Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
• Maximum likelihood estimators of a long-memory process from discrete observations
• Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
• Asymptotic theory for rough fractional Vasicek models
• Statistical inference with fractional Brownian motion
• Long memory processes and fractional integration in econometrics
• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Stochastic calculus for fractional Brownian motion and related processes.
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
• Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Maximum-likelihood estimators and random walks in long memory models
• Fractional differencing
• Long-Term Memory in Stock Market Prices
• A General Fractional White Noise Theory And Applications To Finance
• Perpetual American options with fractional Brownian motion
• ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
• Fractional Brownian motion and clinical trials
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Parameter identification for the discretely observed geometric fractional Brownian motion
• Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets
• Fractional Brownian Motions, Fractional Noises and Applications
• A Long-Range Dependent Workload Model for Packet Data Traffic