Estimation of the long memory parameter in stochastic volatility models by quadratic variations
نویسندگان
چکیده
We consider a stochastic volatility model where the volatility process is a fractional Brownian motion. We estimate the memory parameter of the volatility from discrete observations of the price process. We use criteria based on Malliavin calculus in order to characterize the asymptotic normality of the estimators. 2000 AMS Classification Numbers: 60F05, 60H05, 60G18.
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