Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics-Reference-Cited by-同舟云学术

Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics

Published:2022-08-23 Issue:4 Volume:32 Page:1086-1132
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Fukasawa Masaaki¹,Takabatake Tetsuya²,Westphal Rebecca³

Affiliation:

1. Graduate School of Engineering Science Osaka University Osaka Japan

2. School of Economics Hiroshima University Hiroshima Japan

3. Department of Management, Technology, and Economics ETH Zürich Zürich Switzerland

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12354

Reference37 articles.

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2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

3. Basic properties of the multivariate fractional Brownian motion;Amblard P. O.;Bulletin de la Société Mathématique de France, Séminaires et Congrés,2012

4. The Distribution of Realized Exchange Rate Volatility

5. Pricing under rough volatility

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