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Volatility estimation in fractional Ornstein-Uhlenbeck models

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1 Published in 2018 at "Stochastic Models"

DOI: 10.1080/15326349.2019.1692668

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… read more here.

Keywords: models volatility; volatility; estimation fractional; volatility estimation ... See more keywords