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Volatility estimation in fractional Ornstein-Uhlenbeck models - MaRDI portal

Volatility estimation in fractional Ornstein-Uhlenbeck models (Q5106730)

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scientific article; zbMATH DE number 7191832
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English
Volatility estimation in fractional Ornstein-Uhlenbeck models
scientific article; zbMATH DE number 7191832

    Statements

    title
    Volatility estimation in fractional Ornstein-Uhlenbeck models (English)
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    author
    Salwa Bajja
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    Khalifa Es-Sebaiy
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    Lauri Viitasaari
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    publication date
    22 April 2020
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    zbMATH Keywords
    fractional Brownian motion
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    quadratic variation
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    volatility
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    cites work

    Identifiers

    zbMATH DE Number
    7191832
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    OpenAlex ID
    W2991496877
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    arXiv ID
    1802.09589
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