Estimation of the volatility persistence in a discretely observed diffusion model

Stochastic Processes and their Applications

Volumn 118, Issue 8, 2008, Pages 1434-1462

  Rosenbaum, Mathieu ^a,b  

^a UNIVERSITÉ PARIS EST   (France)

^b CREST   (France)

Author keywords

Adaptive estimation of quadratic functionals; Discrete sampling; Fractional Brownian motion; High frequency data; Scaling exponent; Stochastic volatility models; Wavelet methods

Indexed keywords

STOCHASTIC MODELS;

DIFFUSION MODELING; STOCHASTIC VOLATILITY MODELS; VOLATILITY PERSISTENCE;

MODAL ANALYSIS;

EID: 46049097352     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.09.004     Document Type: Article

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