Cited in
(73)- Assessing relative volatility/ intermittency/energy dissipation
- Maximum likelihood estimators of a long-memory process from discrete observations
- Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
- ItoProcess
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- Data driven time scale in Gaussian quasi-likelihood inference
- Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations
- Two-step estimation of ergodic Lévy driven SDE
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- Hybrid estimators for small diffusion processes based on reduced data
- Semi-Lévy driven continuous-time GARCH process
- Updating Wilkie’s Economic Scenario Generator for U.S. Applications
- Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
- Discrete-time approximation of a COGRAPH(\(p,q\)) model and its estimation
- Simulation and Inference for Stochastic Processes with YUIMA
- Optimal rates for parameter estimation of stationary Gaussian processes
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
- Time-changed fractional Ornstein-Uhlenbeck process
- Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems
- Volatility is rough
- Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- MATLAB Financial Toolbox
- fExoticOptions
- RQuantLib
- VarianceGamma
- PSM
- ctarma
- ppstat
- ctsem
- Sim.DiffProc
- sde
- SDE-Solver
- Langevin
- NHPoisson
- JiTCSDE
- highfrequency
- MsdeParEst
- COGARCH.rm
- MSGARCH
- hawkes
- SimEstFBM
- DiffusionRimp
- KramersMoyal
- ACDm
- sdeint
- SODECL
- mixedsde
- A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
- LAN property for stochastic differential equations with additive fractional noise and continuous time observation
- Unifying relationships between complexity and stability in mutualistic ecological communities
- Implementation of Lévy CARMA model in \texttt{yuima} package
- Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
- Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
- LevyArea.jl
- SDEModels.jl
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
- Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
- Implicit expectiles and measures of implied volatility
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
- Finite mixture approximation of CARMA(p,q) models
- Berry-Esseen bounds for parameter estimation of general Gaussian processes
- Noise inference for ergodic Lévy driven SDE
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
- Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
- Estimating reducible stochastic differential equations by conversion to a least-squares problem
- Lévy CARMA models for shocks in mortality
- Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations
- Estimation of Lévy CARMA models in the \texttt{yuima} package: application on the financial time series
- Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
- An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
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