On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shuping Shi, Jun Yu, Chen Zhang
| Year of publication: |
May 2023
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| Authors: | Shi, Shuping ; Yu, Jun ; Zhang, Chen |
| Publisher: |
Singapore : Singapore Management University |
| Subject: | Fractional Brownian motion | fractional Ornstein-Uhlenbeck process | spectral density | Paxson approximation | Whittle likelihood | Realized volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Mean Reversion | Mean reversion | Optionspreistheorie | Option pricing theory |
| Extent: | 1 Online-Ressource (circa 28 Seiten) Illustrationen |
|---|---|
| Series: | Working paper. - [Singapore] : School of Economics, ZDB-ID 3110021-1. - Vol. paper no. 2023, 08 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014320456