Estimation of the long memory parameter in stochastic volatility models by quadratic variations

DOI10.1515/ROSE.2011.012zbMath1395.62260OpenAlexW1991089486MaRDI QIDQ4923219

Ionut Florescu, Ciprian A. Tudor

Publication date: 6 June 2013

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2011.012

zbMATH Keywords

fractional Brownian motionMalliavin calculusself-similarityHurst parameterstatistical estimationquadratic variationmultiple stochastic integralstochastic volatility model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Cites Work

• Econometric estimation in long-range dependent volatility models: theory and practice
• A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
• Variations and estimators for self-similarity parameters via Malliavin calculus
• Stochastic volatility and fractional Brownian motion
• Central limit theorems for sequences of multiple stochastic integrals
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths