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

DOI10.1239/jap/1082999079zbMath1046.60038OpenAlexW2106887461MaRDI QIDQ4819471

J. T. Gao

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1082999079

zbMATH Keywords

parameter estimationstochastic volatilitydiffusion processlong-range dependencecontinuous-time model

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sample path properties (60G17)

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