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Modelling long-range-dependent Gaussian processes with application in continuous-time financial models - MaRDI portal

Modelling long-range-dependent Gaussian processes with application in continuous-time financial models (Q4819471)

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scientific article; zbMATH DE number 2103379
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Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
scientific article; zbMATH DE number 2103379

    Statements

    title
    Modelling long-range-dependent Gaussian processes with application in continuous-time financial models (English)
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    publication date
    24 September 2004
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    zbMATH Keywords
    continuous-time model
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    diffusion process
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    long-range dependence
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    parameter estimation
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    stochastic volatility
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    author
    J. T. Gao
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    cites work
    Q4092717
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    Q4857359
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    Q4004325
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    Q4905685
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    Q4794152
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    Q4938228
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    Q3999270
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    Convex Analysis
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    Q4220653
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    Identifiers

    zbMATH DE Number
    2103379
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    OpenAlex ID
    W2106887461
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