Stochastic volatility and fractional Brownian motion

Stochastic Processes and their Applications

Volumn 113, Issue 1, 2004, Pages 143-172

  Gloter, A ^a   Hoffmann, M ^b  

^a UNIVERSITÉ DE BORDEAUX   (France)

^b CNRS   (France)

Author keywords

Contrast estimators; Discrete samplings; Fractional Brownian motion; High frequency data; Stochastic volatility models

Indexed keywords

EID: 4243105025     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.03.008     Document Type: Article

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