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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Gao, Jiti (2002): Modeling long-range dependent Gaussian processes with application in continuous-time financial models. Published in: Journal of Applied probability , Vol. 46, No. 2 (June 2004): pp. 467-482.
Classification:	C13 - Estimation
Source:	BASE

Persistent link: https://www.econbiz.de/10015212933