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

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  • Gao, Jiti

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.

Suggested Citation

  • Gao, Jiti, 2002. "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper 11973, University Library of Munich, Germany, revised 18 Sep 2003.
    • Handle: RePEc:pra:mprapa:11973
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    References listed on IDEAS

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    More about this item

    Keywords

    continuous-time model; diffusion process; long-range dependent process; parameter estimation; stochastic volatility;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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