References of "Statistical Inference for Stochastic Processes"
     in
Bookmark and Share    
Full Text
Peer Reviewed
See detailParameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
Azmoodeh, Ehsan UL; Viitasaari, Lauri

in Statistical Inference for Stochastic Processes (2015), 18(3), 205227

Detailed reference viewed: 44 (0 UL)
Full Text
Peer Reviewed
See detailSpectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion
Azmoodeh, Ehsan UL; Valkeila, Esko

in Statistical Inference for Stochastic Processes (2013), 16(2), 97-112

Dzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same ... [more ▼]

Dzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. (Finance Stoch, 12:441–468, 2008), where it is shown that the quadratic variation of the log-returns determines the hedging strategy. [less ▲]

Detailed reference viewed: 54 (0 UL)