Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
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Publication:2686295
DOI10.1007/s10959-023-01238-9MaRDI QIDQ2686295
Khalifa Es-Sebaiy, Rachid Belfadli, Fatima-Ezzahra Farah
Publication date: 27 February 2023
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-023-01238-9
Gaussian process; stable convergence; integrated volatility; realized power variation; Riemann-Stieljes integral
62F12: Asymptotic properties of parametric estimators
60G15: Gaussian processes
60G22: Fractional processes, including fractional Brownian motion
91G80: Financial applications of other theories
