Modeling long-range dependent Gaussian processes with application in continuous-time financial models

This paper considers a class of nonstationary Gaussian processes with possible long-range dependence (LRD) and intermittency. The author proposes a new estimation method to simultaneously estimate both the LRD and intermittency parameter. An application of the proposed estimation method to a continuous-time financial model is discussed.

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Year of publication:	2002-05-27
Authors:	Gao, Jiti
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	continuous-time model \| diffusion process \| long-range dependent process \| parameter estimation \| stochastic volatility

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Journal of Applied probability 2.46(2004): pp. 467-482
Classification:	C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005260167