Gloter, A.; Hoffmann, M. - In: Stochastic Processes and their Applications 113 (2004) 1, pp. 143-172
We observe (Yt) at times i/n, i=0,...,n, in the parametric stochastic volatility modeldYt=[Phi]([theta],WtH) dWt,where (Wt) is a Brownian motion, independent of the fractional Brownian motion (WtH) with Hurst parameter . The sample size n increases not because of a longer observation period, but...