Modeling long-range dependent Gaussian processes with application in continuous-time financial models

Jiti Gao

MPRA Paper from University Library of Munich, Germany

Abstract: This paper considers a class of nonstationary Gaussian processes with possible long-range dependence (LRD) and intermittency. The author proposes a new estimation method to simultaneously estimate both the LRD and intermittency parameter. An application of the proposed estimation method to a continuous-time financial model is discussed.

Keywords: continuous-time model; diffusion process; long-range dependent process; parameter estimation; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2002-05-27, Revised 2003-09-18
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Published in Journal of Applied probability 2.46(2004): pp. 467-482

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:11973

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