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Asymptotic behavior of mixed power variations and statistical estimation in mixed models · Study

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ArticleAsymptotic behavior of mixed power variations and statistical estimation in mixed models

Marco Dozzi2014

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Articlegreen2014

Asymptotic behavior of mixed power variations and statistical estimation in mixed models

Marco Dozzi · Yuliya Stepanovna Mishura · Georgiy M. Shevchenko

32 citations·0/0 files stored·Statistical Inference for Stochastic Processes

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Statistical and numerical algorithms

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References

1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes 1979Convergence of integrated processes of arbitrary Hermite rank 2001Mixed Fractional Brownian Motion 1997Quadratic variations and estimation of the local Hölder index of a Gaussian process 2001Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths 2000Simulation and Identification of the Fractional Brownian Motion: A Bibliographical and Comparative Study 1998Identifying the multifractional function of a Gaussian process

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Year2014

Typearticle

Published2014-10-06

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11203-014-9106-5

openalex_workW2001762402

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