Estimation of the volatility persistence in a discretely observed diffusion model

47 citations recorded by the source corpus.

Subfields: Finance

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Statistical inference for Vasicek-type model driven by Hermite processes (2017, background): “In the finance context, the highly cited paper [11] investigates the high-frequency behavior of volatility, drawing on ideas in the paper [21] on long-memory parameter estimation, and before this, the 1997 paper [14], and the 2001 paper [7].”
Volatility is rough (2014, unknown): “In the spirit of Rosenbaum (2011), our main assumption is that for some sq > 0 and bq > 0, as tends to zero, N qsq m(q, ) → bq .”
Integrated volatility and round-off error (2009, unknown): “Details can be found in Rosenbaum [27].”
Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise (2015, methodology): “We also mention a method described in [27] for a similar model with partial observation, where it is shown that the minimax-sense optimal estimator has a very slow convergence rate, and relies on high-frequency data; it can be argued that when applied to bona fide financial data, this estimator cann”