Stochastic volatility and fractional Brownian motion
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Publication:2485787
DOI10.1016/J.SPA.2004.03.008zbMATH Open1065.62179OpenAlexW2047323055MaRDI QIDQ2485787FDOQ2485787
Authors: Arnaud Gloter, M. 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
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Cites Work
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- The detection and estimation of long memory in stochastic volatility
- Title not available (Why is that?)
- Fractional Brownian motion, random walks and binary market models
- Long memory continuous time models
- Long memory in continuous-time stochastic volatility models
- Stochastic volatility models as hidden Markov models and statistical applications
- Itô's formula with respect to fractional Brownian motion and its application
- Stochastic analysis of the fractional Brownian motion
- Wavelet methods in numerical analysis
- Quelques espaces fonctionnels associés à des processus gaussiens
- Stochastic integration with respect to fractional Brownian motion
- Parameter estimation for discretely observed stochastic volatility models
- Tolerance to arbitrage
- Rate of convergence for parametric estimation in a stochastic volatility model.
- Estimation du coefficient de diffusion de la volatilité d'un modèle à volatilité stochastique
Cited In (27)
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices
- Estimation in models driven by fractional Brownian motion
- Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
- Stochastic volatility models with volatility driven by fractional Brownian motions
- Efficient estimation of drift parameters in stochastic volatility models
- Fractional Brownian motion, random walks and binary market models
- Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
- Difference based estimators and infill statistics
- Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
- Estimation of the long memory parameter in stochastic volatility models by quadratic variations
- High-frequency trading with fractional Brownian motion
- Quasi-Likelihood Analysis of Fractional Brownian Motion with Constant Drift under High-Frequency Observations
- Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
- Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values
- Estimation of the Hurst parameter from discrete noisy data
- Stochastic volatility and multifractional Brownian motion
- THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY
- Estimation of the volatility persistence in a discretely observed diffusion model
- Statistical inference for rough volatility: minimax theory
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Asymptotic equivalence for regression under fractional noise
- Fisher information for fractional Brownian motion under high-frequency discrete sampling
- Rate of convergence for parametric estimation in a stochastic volatility model.
- The estimation of leverage effect with high-frequency data
- Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem
- Optimal estimation of the rough Hurst parameter in additive noise
- FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS
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