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Simulation And Estimation Of Long Memory Continuous Time Models

Citations

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Cited by:

  1. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
  2. Henghsiu Tsai & K. S. Chan, 2005. "Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 691-713, September.
  3. Ofelia Bonesini & Giorgia Callegaro & Martino Grasselli & Gilles Pag`es, 2023. "Efficient simulation of a new class of Volterra-type SDEs," Papers 2306.02708, arXiv.org, revised Oct 2025.
  4. Markus Bibinger & Jun Yu & Chen Zhang, 2025. "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Papers 2504.15985, arXiv.org.
  5. Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Economics and Statistics Working Papers 8-2022, Singapore Management University, School of Economics.
  6. Ould Haye, Mohamedou & Philippe, Anne, 2025. "Asymptotics for irregularly observed long memory processes," Stochastic Processes and their Applications, Elsevier, vol. 185(C).
  7. Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
  8. Carsten H. Chong & Viktor Todorov, 2024. "A nonparametric test for rough volatility," Papers 2407.10659, arXiv.org.
  9. N. N. Leonenko & Emanuele Taufer, 2001. "Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 54-71.
  10. Johannes Muhle-Karbe & Youssef Ouazzani Chahdi & Mathieu Rosenbaum & Gr'egoire Szymanski, 2026. "A unified theory of order flow, market impact, and volatility," Papers 2601.23172, arXiv.org, revised Feb 2026.
  11. Hult, Henrik, 2003. "Approximating some Volterra type stochastic integrals with applications to parameter estimation," Stochastic Processes and their Applications, Elsevier, vol. 105(1), pages 1-32, May.
  12. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021. "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, vol. 12(4), pages 1053-1084, November.
  13. Fabienne Comte & Valentine Genon-Catalot, 2021. "Nonparametric estimation for i.i.d. Gaussian continuous time moving average models," Statistical Inference for Stochastic Processes, Springer, vol. 24(1), pages 149-177, April.
  14. Fred Espen Benth & Asma Khedher & Michèle Vanmaele, 2020. "Pricing of Commodity Derivatives on Processes with Memory," Risks, MDPI, vol. 8(1), pages 1-32, January.
  15. Emmanuel Gnabeyeu & Gilles Pag`es & Mathieu Rosenbaum, 2025. "On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model," Papers 2512.09590, arXiv.org.
  16. Antoine Jacquier & Adriano Oliveri Orioles & Zan Zuric, 2025. "Rough Bergomi turns grey," Papers 2505.08623, arXiv.org.
  17. Manabu Asai & Michael McAleer, 2017. "A fractionally integrated Wishart stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
  18. M.L. Kleptsyna & A. Le Breton, 2002. "Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 229-248, October.
  19. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
  20. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
  21. Anne Philippe & Caroline Robet & Marie-Claude Viano, 2021. "Random discretization of stationary continuous time processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(3), pages 375-400, April.
  22. Inoua, Sabiou M. & Smith, Vernon L., 2023. "A classical model of speculative asset price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  23. Rui Da & Dacheng Xiu, 2021. "When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility," Econometrica, Econometric Society, vol. 89(6), pages 2787-2825, November.
  24. Markus Hess, 2026. "Modeling Electricity Prices with Stochastic Langevin Equations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 33(1), pages 315-346, March.
  25. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  26. Federico M. Bandi & Benoit Perron, 2006. "Long Memory and the Relation Between Implied and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 636-670.
  27. Susanne M. Schennach, 2018. "Long Memory via Networking," Econometrica, Econometric Society, vol. 86(6), pages 2221-2248, November.
  28. Jonathan Haynes & Daniel Schmitt & Lukas Grimm, 2019. "Estimating stochastic volatility: the rough side to equity returns," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 449-469, December.
  29. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2016. "Decoupling the short- and long-term behavior of stochastic volatility," Papers 1610.00332, arXiv.org, revised Jan 2021.
  30. Jia Li & Dacheng Xiu, 2016. "Generalized Method of Integrated Moments for High‐Frequency Data," Econometrica, Econometric Society, vol. 84, pages 1613-1633, July.
  31. Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
  32. Mohamedou Ould Haye & Anne Philippe & Caroline Robet, 2024. "Inference for continuous-time long memory randomly sampled processes," Statistical Papers, Springer, vol. 65(5), pages 3111-3134, July.
  33. Leonenko, Nikolai N. & Sharapov, Michail M. & El-Bassiouny, Ahmed H., 2000. "On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields," Statistics & Probability Letters, Elsevier, vol. 48(2), pages 121-130, June.
  34. Robinson, Peter, 2019. "Spatial long memory," LSE Research Online Documents on Economics 102182, London School of Economics and Political Science, LSE Library.
  35. Rouzimaimaiti Mahemuti & Ehmet Kasim & Hayrengul Sadik, 2024. "Stochastic Synchronization of Impulsive Reaction–Diffusion BAM Neural Networks at a Fixed and Predetermined Time," Mathematics, MDPI, vol. 12(8), pages 1-19, April.
  36. F. N. M. de Sousa Filho & J. N. Silva & M. A. Bertella & E. Brigatti, 2020. "The leverage effect and other stylized facts displayed by Bitcoin returns," Papers 2004.05870, arXiv.org, revised Jan 2021.
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