Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
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Publication:6204807
DOI10.1007/s10959-023-01238-9OpenAlexW4320896493MaRDI QIDQ6204807
Khalifa Es-Sebaiy, Rachid Belfadli, Fatima-Ezzahra Farah
Publication date: 2 April 2024
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-023-01238-9
Gaussian processstable convergenceintegrated volatilityrealized power variationRiemann-Stieljes integral
Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80)
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