Statistical inference for Vasicek-type model driven by Hermite processes

Author:

Nourdin IvanORCID,Diu Tran T.T.

Funder

F1R-MTH-PUL-15CONF

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference27 articles.

1. Parameter estimation of Gaussian stationary processes using the generalized method of moments;Barboza;Electron. J. Stat.,2017

2. Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes;Chronopoulou;Commun. Stoch. Anal.,2011

3. Estimation and pricing under long-memory stochastic volatility;Chronopoulou;Ann. Finance,2012

4. Stochastic volatility and option pricing with long-memory in discrete and continuous time;Chronopoulou;Quant. Finance,2012

5. Variations and Hurst index estimation for a Rosenblatt process using longer filters;Chronopoulou;Electron. J. Stat.,2009

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