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

DOI10.1515/ROSE.2011.012zbMATH Open1395.62260OpenAlexW1991089486MaRDI QIDQ4923219FDOQ4923219

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

Recommendations

• Parameter estimation for long-memory stochastic volatility at discrete observation
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• The detection and estimation of long memory in stochastic volatility
• scientific article; zbMATH DE number 1944316
• Stochastic Volatility Models with Long Memory

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)

Cites Work

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

Cited In (6)

• Stochastic Volatility Models with Long Memory
• 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
• Sample quantile analysis for long-memory stochastic volatility models
• Stochastic volatility and fractional Brownian motion
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

This page was built for publication: Estimation of the long memory parameter in stochastic volatility models by quadratic variations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4923219)