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 and Sons
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

  • Economics, Econometrics and Finance(all)

Cite this

Chronopoulou, A. (2011). Parameter Estimation and Calibration for Long-Memory Stochastic Volatility Models. In Handbook of Modeling High-Frequency Data in Finance (pp. 219-231). John Wiley and Sons. https://doi.org/10.1002/9781118204580.ch8