Estimation of the long memory parameter in stochastic volatility models by quadratic variations
DOI10.1515/ROSE.2011.012zbMath1395.62260MaRDI QIDQ4923219
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
fractional Brownian motion; Malliavin calculus; self-similarity; Hurst parameter; statistical estimation; quadratic variation; multiple stochastic integral; stochastic volatility model
60G22: Fractional processes, including fractional Brownian motion
62M09: Non-Markovian processes: estimation
91G20: Derivative securities (option pricing, hedging, etc.)
60H07: Stochastic calculus of variations and the Malliavin calculus
60G18: Self-similar stochastic processes
Cites Work
- Econometric estimation in long-range dependent volatility models: theory and practice
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Stochastic volatility and fractional Brownian motion
- Central limit theorems for sequences of multiple stochastic integrals
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
