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Estimation of the volatility persistence in a discretely observed diffusion model |
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| Authors: | Mathieu Rosenbaum |
| Institution: | Université Paris-Est, Laboratoire d’Analyse et de Mathématiques Appliquées, UMR CNRS 8050, France; CREST-ENSAE, Timbre J120, 3 avenue Pierre Larousse, 92245 Malakoff Cedex, France |
| Abstract: | |
| Keywords: | 60G18 60G99 60H05 60H40 60G15 62F12 62F99 62M09 62P05 |
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