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2018

Sequential Monte Carlo for fractional stochastic volatility models

Chronopoulou, A. & Spiliopoulos, K., Mar 4 2018, In : Quantitative Finance. 18, 3, p. 507-517 11 p.

Research output: Contribution to journalArticle

2013

Maximum likelihood estimation for small noise multiscale diffusions

Spiliopoulos, K. & Chronopoulou, A., Oct 1 2013, In : Statistical Inference for Stochastic Processes. 16, 3, p. 237-266 30 p.

Research output: Contribution to journalArticle

On inference for fractional differential equations

Chronopoulou, A. & Tindel, S., Mar 4 2013, In : Statistical Inference for Stochastic Processes. 16, 1, p. 29-61 33 p.

Research output: Contribution to journalArticle

Optimal sequential change detection for fractional diffusion-type processes

Chronopoulou, A. & Fellouris, G., Mar 1 2013, In : Journal of Applied Probability. 50, 1, p. 29-41 13 p.

Research output: Contribution to journalArticle

2012

Estimation and pricing under long-memory stochastic volatility

Chronopoulou, A. & Viens, F. G., May 1 2012, In : Annals of Finance. 8, 2-3, p. 379-403 25 p.

Research output: Contribution to journalArticle

Stochastic volatility and option pricing with long-memory in discrete and continuous time

Chronopoulou, A. & Viens, F. G., Apr 2012, In : Quantitative Finance. 12, 4, p. 635-649 15 p.

Research output: Contribution to journalArticle

2009

Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian processes

Chronopoulou, A., Tudor, C. A. & Viens, F. G., Jun 1 2009, In : Comptes Rendus Mathematique. 347, 11-12, p. 663-666 4 p.

Research output: Contribution to journalArticle

Variations and hurst index estimation for a rosenblatt process using longer filters

Chronopoulou, A., Viens, F. G. & Tudor, C. A., Jan 1 2009, In : Electronic Journal of Statistics. 3, p. 1393-1435 43 p.

Research output: Contribution to journalArticle