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Search: subject:"Fractional Ornstein-Uhlenbeck"
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Stochastic process
14
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9
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long memory
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Xiao, Weilin
4
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3
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2
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2
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2
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ECONIS (ZBW)
16
RePEc
8
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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:
5
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
Persistent link: https://www.econbiz.de/10014366596
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Short-time asymptotics for non-self-similar stochastic volatility models
Giorgio, Giacomo
;
Pacchiarotti, Barbara
;
Pigato, Paolo
- In:
Applied mathematical finance
30
(
2023
)
3
,
pp. 123-152
Persistent link: https://www.econbiz.de/10015051230
Saved in:
9
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
Saved in:
10
Volatility tail risk under fractionality
Morelli, Giacomo
;
Santucci de Magistris, Paolo
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012224753
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