scientific article; zbMATH DE number 5010684

MaRDI QIDQ3374313zbMATHFDO

Authors F. Comte, Eric Renault

Publication date 9 March 2006

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Cited in

(13)

• Estimation and pricing under long-memory stochastic volatility
• Long Memory in Finance and Fractional Brownian Motion
• scientific article; zbMATH DE number 7155902 (Why is no real title available?)
• Sample quantile analysis for long-memory stochastic volatility models
• The tail empirical process for long memory stochastic volatility models with leverage
• The detection and estimation of long memory in stochastic volatility
• The effect of long memory in volatility on location estimation
• Extremal memory of stochastic volatility with an application to tail shape inference
• On the Transmission of Memory in Garch‐in‐Mean Models
• Long-term memory and applying the multi-factor ARFIMA models in financial markets
• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• Inference on the long-memory properties of time series with non-stationary volatility
• Long-term behavior of stochastic interest rate models with jumps and memory

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