Asymptotic properties of the volatility estimator from high frequency data modeled by mixed fractional Brownian motion

2016/11/25 by Lahiri, Ananya
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1611.08543

Abstract

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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