Estimation of the volatility persistence in a discretely observed diffusion model
DOI10.1016/j.spa.2007.09.004zbMath1142.62055MaRDI QIDQ936399
Publication date: 13 August 2008
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2007.09.004
fractional Brownian motion; scaling exponent; high frequency data; stochastic volatility models; discrete sampling; wavelet methods; adaptive estimation of quadratic functionals
62F12: Asymptotic properties of parametric estimators
62P05: Applications of statistics to actuarial sciences and financial mathematics
42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems
62M09: Non-Markovian processes: estimation
62M05: Markov processes: estimation; hidden Markov models
60J65: Brownian motion
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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