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Abstract In this article, we study the asymptotic behavior of the realized quadratic variation of a process where u is a β-Hölder continuous process with and where and BH is… Click to show full abstract
Abstract In this article, we study the asymptotic behavior of the realized quadratic variation of a process where u is a β-Hölder continuous process with and where and BH is a fractional Brownian motion with Hurst index By exploiting the concentration phenomena, we prove almost sure convergence of the quadratic variation, that holds uniformly in time and on the full range As an application, we construct strongly consistent estimator for the integrated volatility parameter in a model driven by
Keywords:
models volatility;
volatility;
estimation fractional;
volatility estimation;
fractional ornstein;
ornstein uhlenbeck
Journal Title: Stochastic Models
Year Published: 2018
Link to full text (if available)
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Journal Title: Stochastic Models
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!