Modelling long-range-dependent Gaussian processes with application in continuous-time financial models

Journal of Applied Probability

Volumn 41, Issue 2, 2004, Pages 467-482

  Gao, Jiti ^a  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Continuous time model; Diffusion process; Long range dependence; Parameter estimation; Stochastic volatility

Indexed keywords

EID: 3242742132     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1082999079     Document Type: Article

References (38)

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