Bocconi & Springer Series - Parameter Estimation in Fractional Diffusion Models
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Published By Springer International Publishing

9783319710297, 9783319710303

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The Hurst Index Estimators for a Fractional Brownian Motion

Bocconi & Springer Series - Parameter Estimation in Fractional Diffusion Models ◽

10.1007/978-3-319-71030-3_2 ◽

2017 ◽

pp. 45-74

Author(s):

Kęstutis Kubilius ◽

Yuliya Mishura ◽

Kostiantyn Ralchenko

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

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Drift Parameter Estimation in Diffusion and Fractional Diffusion Models

Bocconi & Springer Series - Parameter Estimation in Fractional Diffusion Models ◽

10.1007/978-3-319-71030-3_5 ◽

2017 ◽

pp. 161-267

Author(s):

Kęstutis Kubilius ◽

Yuliya Mishura ◽

Kostiantyn Ralchenko

Keyword(s):

Parameter Estimation ◽

Fractional Diffusion ◽

Diffusion Models ◽

Drift Parameter

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Parameter Estimation in the Mixed Models via Power Variations

Bocconi & Springer Series - Parameter Estimation in Fractional Diffusion Models ◽

10.1007/978-3-319-71030-3_4 ◽

2017 ◽

pp. 125-160

Author(s):

Kęstutis Kubilius ◽

Yuliya Mishura ◽

Kostiantyn Ralchenko

Keyword(s):

Parameter Estimation ◽

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Description and Properties of the Basic Stochastic Models

Bocconi & Springer Series - Parameter Estimation in Fractional Diffusion Models ◽

10.1007/978-3-319-71030-3_1 ◽

2017 ◽

pp. 1-43

Author(s):

Kęstutis Kubilius ◽

Yuliya Mishura ◽

Kostiantyn Ralchenko

Keyword(s):

Stochastic Models

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Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation

Bocconi & Springer Series - Parameter Estimation in Fractional Diffusion Models ◽

10.1007/978-3-319-71030-3_3 ◽

2017 ◽

pp. 75-123

Author(s):

Kęstutis Kubilius ◽

Yuliya Mishura ◽

Kostiantyn Ralchenko

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

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The Extended Orey Index for Gaussian Processes

Bocconi & Springer Series - Parameter Estimation in Fractional Diffusion Models ◽

10.1007/978-3-319-71030-3_6 ◽

2017 ◽

pp. 269-320

Author(s):

Kęstutis Kubilius ◽

Yuliya Mishura ◽

Kostiantyn Ralchenko

Keyword(s):

Gaussian Processes

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