Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal
| Year of publication: |
2022
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|---|---|
| Authors: | Fukasawa, Masaaki ; Takabatake, Tetsuya ; Westphal, Rebecca |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 4, p. 1086-1132
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| Subject: | fractional Brownian motion | high-frequency data analysis | realized variance | rough volatility | stochastic volatility | Whittle estimator | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12354 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013463390