MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
Author:
Affiliation:
1. Bloomberg L.P. Quantitative Financial Research
2. Université Pierre et Marie Curie (Paris VI), Regularity team, INRIA Saclay and MAS Laboratory; École Centrale Paris
3. Regularity team, INRIA Saclay and MAS Laboratory; École Centrale Paris
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12024/fullpdf
Reference64 articles.
1. Stochastic Calculus with Respect to Gaussian Processes;Alòs;Ann. Probab.,2001
2. The Distribution of Realized Stock Return Volatility;Andersen;J. Finan. Econ.,2001
3. Ayache , A. S. Cohen J. Lévy Véhel 2000 The Covariance of the Multifractional Brownian Motion and Applications to Long-Range Dependence
4. Ayache , A. C. El-Nouty 2005 The Small Ball Behavior of a Non-Stationary Increments Process: The Multifractional Brownian Motion, Preprint CMLA 08
5. Multifractional Processes with Random Exponent;Ayache;Publ. Mat.,2005
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