Estimation of the long memory parameter in stochastic volatility models by quadratic variations

DOI10.1515/ROSE.2011.012MaRDI QIDQ4923219zbMATH OpenOpenAlexFDO

Authors Ionut Florescu, Ciprian A. Tudor

Publication date 6 June 2013

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.2011.012

zbMATH Keywords

Malliavin calculusfractional Brownian motionHurst parameterquadratic variationself-similaritystatistical estimationstochastic volatility modelmultiple stochastic integral

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

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Cites work

• A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
• Central limit theorems for sequences of multiple stochastic integrals
• Econometric estimation in long-range dependent volatility models: theory and practice
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
• Stochastic volatility and fractional Brownian motion
• Variations and estimators for self-similarity parameters via Malliavin calculus

Cited in

(11)

• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• Parameter estimation for long-memory stochastic volatility at discrete observation
• Sequential Monte Carlo for fractional stochastic volatility models
• Stochastic Volatility Models with Long Memory
• Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model
• Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
• Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
• Stochastic volatility and multifractional Brownian motion
• Sample quantile analysis for long-memory stochastic volatility models
• Stochastic volatility and fractional Brownian motion
• Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem

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