Estimation of stochastic volatility with LRD

DOI10.1016/J.MATCOM.2008.01.040zbMath1151.91488OpenAlexW2011033614MaRDI QIDQ929714

Isabel Casas

Publication date: 18 June 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.040

zbMATH Keywords

stochastic differential equationcontinuous-time modelfractional volatility process

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Econometric estimation in long-range dependent volatility models: theory and practice
• Efficient parameter estimation for self-similar processes
• Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
• Long memory continuous time models
• Long memory in continuous-time stochastic volatility models
• A Theory of the Term Structure of Interest Rates
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• The Distribution of Realized Exchange Rate Volatility
• Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
• An equilibrium characterization of the term structure

This page was built for publication: Estimation of stochastic volatility with LRD