Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal
| Year of publication: |
2022
|
|---|---|
| Authors: | Fukasawa, Masaaki ; Takabatake, Tetsuya ; Westphal, Rebecca |
| 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 |
Online Resource
| 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