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Adaptative estimation of the spectrum of a stationary Gaussian sequence
Comte, Fabienne - 1999
Persistent link: https://www.econbiz.de/10009758933
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Long memory in continuous time stochastic volatility models
Comte, Fabienne; Renault, Eric - 1996
Persistent link: https://www.econbiz.de/10000930699
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Long memory in continuous-time stochastic volatility models
Comte, Fabienne - In: Mathematical finance : an international journal of … 8 (1998) 4, pp. 291-323
Persistent link: https://www.econbiz.de/10001252788
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Nonparametric estimation for a stochastic volatility model
Comte, Fabienne; Genon-Catalot, Valentine; Rozenholc, Y. - In: Finance and stochastics 14 (2010) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10003924782
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Adaptive estimation of the dynamics of a discrete time stochastic volatility model
Comte, Fabienne; Lacour, C.; Rozenholc, Y. - In: Journal of econometrics 154 (2010) 1, pp. 42-73
Persistent link: https://www.econbiz.de/10003931786
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Affine fractional stochastic volatility models
Comte, Fabienne; Coutin, Laure; Renault, Eric - In: Annals of finance 8 (2012) 2/3, pp. 337-378
Persistent link: https://www.econbiz.de/10009548082
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Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
Andrews, Donald W. K.; Lieberman, Offer - 2002
Persistent link: https://www.econbiz.de/10001694737
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Valid Edgeworth expansion for the Whittle maximum likelihood estimator for stationary long-memory Gaussian time series
Andrews, Donald W. K.; Lieberman, Offer - 2002
Persistent link: https://www.econbiz.de/10001666393
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Penalised maximum likelihood estimation for fractional Gaussian processes
Lieberman, Offer - 2001
Persistent link: https://www.econbiz.de/10001637160
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Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary, gaussian, strongly dependent process
Lieberman, Offer; Rousseau, Judith; Zucker, David M. - 2002
Persistent link: https://www.econbiz.de/10001640913