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Parameter estimation for the Langevin equation with stationary-increment Gaussian noise
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Parameter estimation for the Langevin equation with stationary-increment Gaussian noise (2017)Parameter estimation for the Langevin equ…Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind (2014)Parameter estimation based on…On drift parameter estimation in models with fractional Brownian motion (2014)On drift parameter estimation…Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process (2014)Maximum likelihood estimation…Generalized Gaussian bridges (2014)Generalized Gaussian bridgesParameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations (2013)Parameter Estimation for Frac…Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind (2013)Drift parameter estimation fo…Quasi Ornstein–Uhlenbeck processes (2011)Quasi Ornstein–Uhlenbeck proc…On fractional Ornstein-Uhlenbeck processes (2011)On fractional Ornstein-Uhlenb…Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Parameter estimation for frac…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion (2008)Error bounds on the non-norma…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…On bifractional Brownian motion (2005)On bifractional Brownian moti…Fractional Ornstein-Uhlenbeck processes (2003)Fractional Ornstein-Uhlenbeck…Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Statistical Analysis of the F…An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)2005): Statistical Aspects of the fractional stochastic calculus (2005)Statistical aspects of the fractional stochastic calculus (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)Stochastic Integration and Differential Equations (1990)Analysis of the Rosenblatt process (2008)Out of sample forecasts of quadratic variation (2008)The Malliavin Calculus and Related Topics (1995)Continuous Martingales and Brownian Motion (1999)Some properties of the sub-fractional Brownian motion (2006)Sample path properties of bifractional Brownian motion (2007)A decomposition of the bifractional Brownian motion and some applications (2008)Convergence of integrated processes of arbitrary Hermite rank (1979)Variations and estimators for the selfsimilarity order through Malliavin calculus (2007)Stein’s method on Wiener chaos (2008)Regularization and integral representations of Hermite processes (2010)ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018)Stochastic Differential Equations and Diffusion Processes (1983)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Financial Modelling with Jump Processes (2003)Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes (2013)On stochastic integration for volatility modulated Lévy-driven Volterra processes (2013)A GMM approach to estimate the roughness of stochastic volatility (2022)Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Processes. (1996)Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package (2012)Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)Optimal rates for parameter estimation of stationary Gaussian processes (2018)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation (2011)Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)A note on the use of fractional Brownian motion for financial modeling (2012)Fractional stochastic differential equations with applications to finance (2012)Hybrid scheme for Brownian semistationary processes (2017)Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)
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  • 2014Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind43 cited
  • 2014Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process35 cited
  • 2014Generalized Gaussian bridges

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35 cited
  • 2013Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind34 cited
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