Estimation and Inference of fractional continuous-time model with discrete-sampled data

• المؤلفون الرئيسيون: WANG, Xiaohu, XIAO, Weilin, Jun YU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2019
• الموضوعات: Rough Volatility; Hurst Parameter; Second-order Difference; Different Time Scales; Method of Moments; ARFIMA; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2294; https://ink.library.smu.edu.sg/context/soe_research/article/3293/viewcontent/TwostagefVm23_.pdf

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....