Sun, Qi; Xu, Weijun; Xiao, Weilin - In: Economic Modelling 33 (2013) C, pp. 174-181
In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...