Stochastic volatility and fractional Brownian motion

DOI10.1016/j.spa.2004.03.008zbMath1065.62179OpenAlexW2047323055MaRDI QIDQ2485787

Arnaud Gloter, Marc Hoffmann

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.03.008

zbMATH Keywords

fractional Brownian motionhigh-frequency datadiscrete samplingcontrast estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)

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