Pages that link to "Item:Q2485787"
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The following pages link to Stochastic volatility and fractional Brownian motion (Q2485787):
Displaying 26 items.
- Stochastic volatility models with volatility driven by fractional Brownian motions (Q268815) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Asymptotic equivalence for regression under fractional noise (Q482907) (← links)
- Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values (Q553077) (← links)
- Estimation in models driven by fractional Brownian motion (Q731662) (← links)
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices (Q828017) (← links)
- Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift (Q869098) (← links)
- Estimation of the volatility persistence in a discretely observed diffusion model (Q936399) (← links)
- Rate of convergence for parametric estimation in a stochastic volatility model. (Q1766043) (← links)
- High-frequency trading with fractional Brownian motion (Q2022763) (← links)
- Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem (Q2194053) (← links)
- Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions (Q2330958) (← links)
- Difference based estimators and infill statistics (Q2339214) (← links)
- Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (Q2448712) (← links)
- Efficient estimation of drift parameters in stochastic volatility models (Q2463719) (← links)
- Estimation of the Hurst parameter from discrete noisy data (Q2466677) (← links)
- Stochastic Volatility and Multifractional Brownian Motion (Q2914791) (← links)
- FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS (Q3607473) (← links)
- Estimation of the long memory parameter in stochastic volatility models by quadratic variations (Q4923219) (← links)
- Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling (Q4929215) (← links)
- The Estimation of Leverage Effect With High-Frequency Data (Q4975343) (← links)
- Fractional Brownian motion, random walks and binary market models (Q5950464) (← links)
- Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics (Q6054436) (← links)
- THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY (Q6095480) (← links)
- Optimal estimation of the rough Hurst parameter in additive noise (Q6123285) (← links)
- Statistical inference for rough volatility: minimax theory (Q6621523) (← links)
