Asymptotic properties of the volatility estimator from high frequency data modeled by mixed fractional Brownian motion
classification
🧮 math.ST
stat.TH
keywords
estimatorpropertiesasymptoticbrownianfractionalmixedmotionvolatility
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Properties of mixed fractional Brownian motion has been discussed by Cheridito (2001) and Zili (2006). We have proposed an estimator of volatility parameter for a model driven by MFBM. In our article we have shown that the estimator has some desirable asymptotic properties.
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