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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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | 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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| Institution: | Singapore Management University |
| Language: | English |
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