Estimation and Inference of fractional continuous-time model with discrete-sampled data
This paper proposes a two-stage method for estimating parameters in a para-metric fractional continuous-time model based on discrete-sampled observations. In the first stage, the Hurst parameter is estimated based on the ratio of two second-order differences of observations from different time scales....
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2019
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2294 https://ink.library.smu.edu.sg/context/soe_research/article/3293/viewcontent/TwostagefVm23_.pdf |
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