Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets

DOI10.1186/s13662-022-03743-3OpenAlexW4311961481MaRDI QIDQ2110494

Xianggang Lu, Lin Sun, Jianxin Chen

Publication date: 21 December 2022

Published in: Advances in Continuous and Discrete Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-022-03743-3

zbMATH Keywords

asymptotic behaviordiscrete observationsleast-squares estimationbipower variationgeometric fractional Brownian motion

Mathematics Subject Classification ID

Ordinary differential equations (34-XX) Difference and functional equations (39-XX)

Uses Software

• YUIMA
• SimEstFBM

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