Modeling long-range dependent Gaussian processes with application in continuous-time financial models
AbstractThis paper considers a class of nonstationary Gaussian processes with possible long-range dependence (LRD) and intermittency. The author proposes a new estimation method to simultaneously estimate both the LRD and intermittency parameter. An application of the proposed estimation method to a continuous-time financial model is discussed.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 11973.
Date of creation: 27 May 2002
Date of revision: 18 Sep 2003
Publication status: Published in Journal of Applied probability 2.46(2004): pp. 467-482
continuous-time model; diffusion process; long-range dependent process; parameter estimation; stochastic volatility;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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