Estimation of the long memory parameter in stochastic volatility models by quadratic variations

Ionuţ Florescu, Ciprian A. Tudor

Research output: Contribution to journalArticlepeer-review

Abstract

We consider a stochastic volatility model where the volatility process is a fractional Brownian motion. We estimate the memory parameter of the volatility from discrete observations of the price process. We use criteria based on Malliavin calculus in order to characterize the asymptotic normality of the estimators.

Original languageEnglish
Pages (from-to)197-216
Number of pages20
JournalRandom Operators and Stochastic Equations
Volume19
Issue number2
DOIs
StatePublished - Jun 2011

Keywords

  • Fractional Brownian motion
  • Hurst parameter
  • Malliavin calculus
  • Multiple stochastic integral
  • Quadratic variation
  • Self-similarity
  • Statistical estimation
  • Stochastic volatility model

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