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~person:"Garcin, Matthieu"
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Fractional Brownian motion
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Stochastic process
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Stochastischer Prozess
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Whittle likelihood
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Change-of-frequency
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Estimation theory
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Fractional Gaussian noise
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Maximum likelihood
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Option pricing theory
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fractional Ornstein-Uhlenbeck process
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Garcin, Matthieu
Yu, Jun
Shi, Shuping
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Decisions in economics and finance : a journal of applied mathematics
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Essays in honor of Joon Y. Park : econometric theory
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On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
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Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
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2022
Persistent link: https://www.econbiz.de/10013542219
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