Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
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Publication:4819471
DOI10.1239/jap/1082999079zbMath1046.60038OpenAlexW2106887461MaRDI QIDQ4819471
Publication date: 24 September 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1082999079
parameter estimationstochastic volatilitydiffusion processlong-range dependencecontinuous-time model
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