Search Results - subject:"Fractional Ornstein-Uhlenbeck process"

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

Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model

Önalan, Ömer - In: Romanian journal of economic forecasting 25 (2022) 1, pp. 68-84

Persistent link: https://www.econbiz.de/10013411688

Variance and volatility swaps and options under the exponential fractional Ornstein-Uhlenbeck model

Kim, Hyun-Gyoon; Kim, See-Woo; Kim, Jeong-Hoon - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014534851

Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415

Persistent link: https://www.econbiz.de/10014339985

Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 73-95). 2023

Persistent link: https://www.econbiz.de/10014313249

Pairs trading with fractional Ornstein-Uhlenbeck spread model

Xiang, Yun; Zhao, Yonghong; Deng, Shijie - In: Applied economics 55 (2023) 23, pp. 2607-2623

Persistent link: https://www.econbiz.de/10014295156

Rough stochastic elasticity of variance and option pricing

Cao, Jiling; Kim, Jeong-Hoon; Kim, See-Woo; Zhang, WenJun - In: Finance research letters 37 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012485014

Option pricing under fast-varying and rough stochastic volatility

Garnier, Josselin; Sølna, Knut - In: Annals of finance 14 (2018) 4, pp. 489-516

Persistent link: https://www.econbiz.de/10012268319

Portfolio optimization under fast mean-reverting and rough fractional stochastic environment

Fouque, Jean-Pierre; Hu, Ruimeng - In: Applied mathematical finance 25 (2018) 3/4, pp. 361-388

Persistent link: https://www.econbiz.de/10012129167

Nonparametric predictive regression

Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C.B. - In: Journal of Econometrics 185 (2015) 2, pp. 468-494

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The limit distribution of these predictive tests is nuisance...

Persistent link: https://www.econbiz.de/10011190727