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~subject:"Estimation theory"
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Search: subject:"Fractional Brownian Motion"
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Estimation theory
Fractional Brownian motion
126
Stochastischer Prozess
90
Stochastic process
87
fractional Brownian motion
81
Optionspreistheorie
47
Option pricing theory
46
Theorie
40
Volatility
39
Volatilität
39
Theory
36
Time series analysis
19
Zeitreihenanalyse
19
Hurst exponent
16
Long memory
11
long memory
11
Arbitrage
10
Option pricing
10
Fractional Brownian Motion
9
Malliavin calculus
9
Black-Scholes-Modell
8
Transaction costs
8
Transaktionskosten
8
Black-Scholes model
7
Forecasting model
7
Gaussian process
7
Portfolio selection
7
Portfolio-Management
7
Prognoseverfahren
7
Schätztheorie
7
Discrete Fourier transform
6
Whittle likelihood
6
option pricing
6
stochastic volatility
6
Brownian motion
5
Derivat
5
Derivative
5
Fractional Gaussian noise
5
Hurst coefficient
5
Multivariate stochastic volatility
5
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Yu, Jun
2
Bennedsen, Mikkel
1
Fukasawa, Masaaki
1
Hualde, Javier
1
Jing, Bingyi
1
Liu, Guangying
1
Marie, Nicolas
1
Shi, Shuping
1
Takabatake, Tetsuya
1
Wang, Xiaohu
1
Westphal, Rebecca
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Xiao, Weilin
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Econometric reviews
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Essays in honor of Joon Y. Park : econometric theory
1
Finance and stochastics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
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1
Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
Saved in:
2
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
3
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
Saved in:
4
Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics
Fukasawa, Masaaki
;
Takabatake, Tetsuya
;
Westphal, Rebecca
- In:
Mathematical finance : an international journal of …
32
(
2022
)
4
,
pp. 1086-1132
Persistent link: https://www.econbiz.de/10013463390
Saved in:
5
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
Saved in:
6
On estimation of hurst parameter under noisy observations
Liu, Guangying
;
Jing, Bingyi
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 483-492
Persistent link: https://www.econbiz.de/10012249184
Saved in:
7
Estimation of long-run parameters in unbalanced cointegration
Hualde, Javier
- In:
Journal of econometrics
178
(
2014
)
2
,
pp. 761-778
Persistent link: https://www.econbiz.de/10010257663
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