Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics (Q6054436)
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scientific article; zbMATH DE number 7743088
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics |
scientific article; zbMATH DE number 7743088 |
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Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics (English)
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28 September 2023
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fractional Brownian motion
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high-frequency data analysis
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realized variance
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rough volatility
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stochastic volatility
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Whittle estimator
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