Modeling long-range dependent Gaussian processes with application in continuous-time financial models
This 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.
|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|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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