scientific article; zbMATH DE number 5010684

zbMATH Open1182.91169MaRDI QIDQ3374313FDOQ3374313

Authors: F. Comte, Eric Renault 

Publication date: 9 March 2006

Title of this publication is not available (Why is that?)

Mathematics Subject Classification ID

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

Cited In (13)

• Title not available (Why is that?)
• On the Transmission of Memory in Garch‐in‐Mean Models
• The tail empirical process for long memory stochastic volatility models with leverage
• 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
• Long-term behavior of stochastic interest rate models with jumps and memory
• The effect of long memory in volatility on location estimation
• The detection and estimation of long memory in stochastic volatility
• Sample quantile analysis for long-memory stochastic volatility models
• Estimation and pricing under long-memory stochastic volatility
• Inference on the long-memory properties of time series with non-stationary volatility
• Long Memory in Finance and Fractional Brownian Motion
• Extremal memory of stochastic volatility with an application to tail shape inference

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