Volatility estimation in fractional Ornstein-Uhlenbeck models
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Publication:5106730
DOI10.1080/15326349.2019.1692668zbMath1437.60023arXiv1802.09589OpenAlexW2991496877MaRDI QIDQ5106730
Khalifa Es-Sebaiy, Lauri Viitasaari, Salwa Bajja
Publication date: 22 April 2020
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.09589
Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)
Related Items (3)
Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency ⋮ Volatility estimation of general Gaussian Ornstein-Uhlenbeck process ⋮ Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
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