Pages that link to "Item:Q5416706"

The following pages link to MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (Q5416706):

Displaying 49 items.

• Stochastic volatility models with volatility driven by fractional Brownian motions (Q268815) (← links)
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models (Q929684) (← links)
• Multifractal value at risk model (Q1619380) (← links)
• A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes (Q1643803) (← links)
• Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients (Q1744224) (← links)
• Regularity of multifractional moving average processes with random Hurst exponent (Q1979895) (← links)
• Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise (Q1987558) (← links)
• Existence and stability of solution for a nonlinear fractional differential equation (Q1998607) (← links)
• A Caputo fractional derivative of a function with respect to another function (Q2005089) (← links)
• Maximum likelihood estimation for sub-fractional Vasicek model (Q2066932) (← links)
• Chelyshkov least squares support vector regression for nonlinear stochastic differential equations by variable fractional Brownian motion (Q2111297) (← links)
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
• Properties of positive solutions for a fractional boundary value problem involving fractional derivative with respect to another function (Q2132294) (← links)
• From rough to multifractal volatility: the log S-fBm model (Q2170609) (← links)
• On the \(\psi\)-Hilfer fractional derivative (Q2207837) (← links)
• Chebyshev cardinal wavelets for nonlinear stochastic differential equations driven with variable-order fractional Brownian motion (Q2213090) (← links)
• Fractional Brownian motion with two-variable Hurst exponent (Q2223840) (← links)
• A general class of multifractional processes and stock price informativeness (Q2313541) (← links)
• Maximum likelihood estimation in the non-ergodic fractional Vasicek model (Q2337822) (← links)
• Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions (Q2434498) (← links)
• A novel and efficient operational matrix for solving nonlinear stochastic differential equations driven by multi-fractional Gaussian noise (Q2671861) (← links)
• Fuzzy clustering of time series with time-varying memory (Q2677857) (← links)
• CVA in fractional and rough volatility models (Q2700343) (← links)
• Modelling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion (Q2896603) (← links)
• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (Q3023915) (← links)
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model (Q3437399) (← links)
• (Q3511640) (← links)
• A multifactor volatility Heston model (Q3539544) (← links)
• Multivariate Stochastic Volatility (Q3646962) (← links)
• Statistical tests of distributional scaling properties for financial return series (Q4554491) (← links)
• Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (Q4585680) (← links)
• Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
• A derivative concept with respect to an arbitrary kernel and applications to fractional calculus (Q4626737) (← links)
• ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (Q4629570) (← links)
• TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY? (Q4662048) (← links)
• Self-exciting multifractional processes (Q4964779) (← links)
• Explicit and combined estimators for parameters of stable distributions (Q5023858) (← links)
• Girsanov theorem for multifractional Brownian processes (Q5056592) (← links)
• Differential equations driven by variable order Hölder noise and the regularizing effect of delay (Q5086475) (← links)
• Log-Modulated Rough Stochastic Volatility Models (Q5162852) (← links)
• Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model (Q5218384) (← links)
• An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion (Q5876563) (← links)
• Stochastic calculus with respect to Gaussian processes (Q5915903) (← links)
• Investigating volatility transmission across international equity markets using multivariate fractional models (Q6056274) (← links)
• A new hybrid approach for nonlinear stochastic differential equations driven by multifractional Gaussian noise (Q6137323) (← links)
• Minimal model of diffusion with time changing Hurst exponent (Q6137656) (← links)
• Option pricing in sandwiched Volterra volatility model (Q6623043) (← links)
• Existence results for some \(\psi\)-Hilfer iterative approximation (Q6633219) (← links)