Parameter estimation in rough Bessel model

2023/05/24 by Yuliya Mishura, Mishura, Yuliya, Anton Yurchenko-Tytarenko +1
Computer Science · Economics, Econometrics and Finance · #Bayesian Methods and Mixture Models #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2305.15205

openalex publication_date 2023/05/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with H<1/2. As an auxiliary result, we also prove the continuity of the fractional Bessel process. The results are illustrated with simulations.

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