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pro vyhledávání: '"Bolko, Anine E."'
We develop a GMM approach for estimation of log-normal stochastic volatility models driven by a fractional Brownian motion with unrestricted Hurst exponent. We show that a parameter estimator based on the integrated variance is consistent and, under
Externí odkaz:
http://arxiv.org/abs/2010.04610
Publikováno v:
In Journal of Econometrics August 2023 235(2):745-778
