Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model (Q2796368)
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scientific article; zbMATH DE number 6560145
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model |
scientific article; zbMATH DE number 6560145 |
Statements
24 March 2016
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geometric fractional Brownian motion
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fractional Ornstein-Uhlenbeck process
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long memory stochastic volatility
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innovation algorithm
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Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model (English)
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