On the spectral density of fractional Ornstein-Uhlenbeck processes
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Publication:6664662
DOI10.1016/J.JECONOM.2024.105872MaRDI QIDQ6664662
Chen Zhang, Jun Yu, Shuping Shi
Publication date: 16 January 2025
Published in: Journal of Econometrics (Search for Journal in Brave)
fractional Brownian motionspectral densityrealized volatilitytrading volumefractional Ornstein-Uhlenbeck processpaxson approximationWhittle maximum likelihood
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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