TY - JOUR
T1 - Estimation of the long memory parameter in stochastic volatility models by quadratic variations
AU - Florescu, Ionuţ
AU - Tudor, Ciprian A.
PY - 2011/6
Y1 - 2011/6
N2 - 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.
AB - 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.
KW - Fractional Brownian motion
KW - Hurst parameter
KW - Malliavin calculus
KW - Multiple stochastic integral
KW - Quadratic variation
KW - Self-similarity
KW - Statistical estimation
KW - Stochastic volatility model
UR - http://www.scopus.com/inward/record.url?scp=84858398532&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84858398532&partnerID=8YFLogxK
U2 - 10.1515/ROSE.2011.012
DO - 10.1515/ROSE.2011.012
M3 - Article
AN - SCOPUS:84858398532
SN - 0926-6364
VL - 19
SP - 197
EP - 216
JO - Random Operators and Stochastic Equations
JF - Random Operators and Stochastic Equations
IS - 2
ER -