Asymptotic properties of the volatility estimator from high frequency data modeled by mixed fractional Brownian motion
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Publication:6280146
arXiv1611.08543MaRDI QIDQ6280146FDOQ6280146
Authors: Ananya Lahiri 
Publication date: 25 November 2016
Abstract: Properties of mixed fractional Brownian motion has been discussed by Cheridito (2001) and Zili (2006). We have proposed an estimator of volatility parameter for a model driven by MFBM. In our article we have shown that the estimator has some desirable asymptotic properties.
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