The multivariate fractional Ornstein-Uhlenbeck process
From MaRDI portal
cross-correlationergodicityfractional Ornstein-Uhlenbeck processlong-range dependenceMalliavin calculusparametric inferenceStein's method
Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Probabilistic models, generic numerical methods in probability and statistics (65C20)
Cites work
- A GMM approach to estimate the roughness of stochastic volatility
- Asymptotic behavior of the maximum likelihood estimator for ergodic and nonergodic square-root diffusions
- Asymptotic behaviour of randomised fractional volatility models
- Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)
- Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
- Contrast function estimation for the drift parameter of ergodic jump diffusion process
- Convergence in law in the second Wiener/Wigner chaos
- Correction to Black-Scholes formula due to fractional stochastic volatility
- Covariance function of vector self-similar processes
- Differential equations driven by fractional Brownian motion
- Distributional limit theorems over a stationary Gaussian sequence of random vectors.
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
- Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations
- Estimation of an Ergodic Diffusion from Discrete Observations
- Fractional {O}rnstein-{U}hlenbeck processes
- From microscopic price dynamics to multidimensional rough volatility models
- Gaussian Volterra processes as models of electricity markets
- High-order methods for the option pricing under multivariate rough volatility models
- Identification of the Multivariate Fractional Brownian Motion
- Integration questions related to fractional Brownian motion
- Large Sample Properties of Generalized Method of Moments Estimators
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Long memory in continuous-time stochastic volatility models
- Long-Range Dependence and Self-Similarity
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Multiple Wiener-Ito integrals. With applications to limit theorems
- Multivariate volatility models
- Non-central limit theorems for non-linear functional of Gaussian fields
- Normal approximations with Malliavin calculus. From Stein's method to universality
- Optimal hedging under fast-varying stochastic volatility
- Option pricing under fast-varying and rough stochastic volatility
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Pricing under rough volatility
- Rough volatility via the Lamperti transform
- Selected aspects of fractional Brownian motion.
- Short-time asymptotics for non self-similar stochastic volatility models
- Short-time near-the-money skew in rough fractional volatility models
- Spectral central limit theorem for additive functionals of isotropic and stationary Gaussian fields
- Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical inference for rough volatility: central limit theorems
- Statistical inference for rough volatility: minimax theory
- The Malliavin Calculus and Related Topics
- The market nanostructure origin of asset price time reversal asymmetry
- Time reversal invariance in finance
- Volatility is rough
- Wavelet analysis of the multivariate fractional Brownian motion
- Weak convergence to fractional brownian motion and to the rosenblatt process
This page was built for publication: The multivariate fractional Ornstein-Uhlenbeck process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6887538)
