Parameter Estimation and Calibration for Long-Memory Stochastic Volatility Models

Research output: Chapter in Book/Report/Conference proceedingChapter

Original languageEnglish (US)
Title of host publicationHandbook of Modeling High-Frequency Data in Finance
PublisherJohn Wiley & Sons, Ltd.
Pages219-231
Number of pages13
ISBN (Print)9780470876886
DOIs
StatePublished - Nov 7 2011
Externally publishedYes

Keywords

  • Hurst index, option prices
  • LMSV model calibration
  • LMSV, three parameter estimation

ASJC Scopus subject areas

  • General Economics, Econometrics and Finance

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