Parametric estimation for sub-fractional Ornstein–Uhlenbeck process☆

By I. Mendy. 2013

52 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a584f4e16357970c80c42fc90073d7a3492d318b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Mohamed El Machkouri
2. Khalifa Es-Sebaiy
3. Y. Ouknine
4. Frederi G. Viens
5. Khoa Le

In Management Science and Operations Research

1. Mohamed El Machkouri
2. Khalifa Es-Sebaiy
3. Y. Ouknine

Citations in the corpus

• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes (2015, methodology): “3 in [14] relies on a possibly awed technique because the passage from line -7 to -6 on page 671 does not allow to obtain the convergence of E [( e−θt ∫ t 0 e dS s )2] as t → ∞.”