On the spectral density of fractional Ornstein-Uhlenbeck processes

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)

zbMATH Keywords

fractional Brownian motionspectral densityrealized volatilitytrading volumefractional Ornstein-Uhlenbeck processpaxson approximationWhittle maximum likelihood

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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