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Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
16 references·1 citing·35 second hop
Least squares estimation for the drift parameters in the sub-fractional Vasicek processes (2018)Least squares estimation for the drift pa…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…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Statistical Analysis of the F…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Statistical inference for diffusion type processes (1999)Statistical inference for dif…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Quadratic variations and esti…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model (2020)Estimating drift parameters i…An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Forecasting the Term Structure of Government Bond Yields (2003)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (2006)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)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)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)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)Empirical properties of asset returns: stylized facts and statistical issues (2001)
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  • 2002Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process267 cited
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    • 2020Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model15 cited