Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem

DOI10.1007/S11203-020-09209-1MaRDI QIDQ2194053zbMATH OpenOpenAlexFDO

Authors Yaroslav Eumenius-Schulz

Publication date 25 August 2020

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-020-09209-1

zbMATH Keywords

central limit theoremrough volatilityfractional stochastic volatilityspot volatility estimator

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Nonparametric tolerance and confidence regions (62G15) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Generalizations of martingales (60G48) Applications of rough analysis (60L90)

Recommendations

• Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
• Estimation of the long memory parameter in stochastic volatility models by quadratic variations
• Volatility estimation in fractional Ornstein-Uhlenbeck models
• Stochastic volatility and fractional Brownian motion
• Estimation of the instantaneous volatility

Cites work

• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• Discretization of processes.
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional {O}rnstein-{U}hlenbeck processes
• Long memory in continuous-time stochastic volatility models
• On mixing and stability of limit theorems
• Optimal kernel estimation of spot volatility of stochastic differential equations
• Selected aspects of fractional Brownian motion.
• Semimartingale: Itô or not ?
• Short-time near-the-money skew in rough fractional volatility models
• Stochastic calculus for fractional Brownian motion and related processes.
• The microstructural foundations of leverage effect and rough volatility
• Volatility is rough

Cited in

(4)

• A central limit theorem for the functional estimation of the spot volatility
• Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
• Statistical inference for rough volatility: minimax theory
• Estimation of the instantaneous volatility

This page was built for publication: Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2194053)