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Modeling long-range dependent Gaussian processes with application in continuous-time financial models

Gao, Jiti (2002): Modeling long-range dependent Gaussian processes with application in continuous-time financial models. Published in: Journal of Applied probability , Vol. 46, No. 2 (June 2004): pp. 467-482.

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Abstract

This paper considers a class of nonstationary Gaussian processes with possible long-range dependence (LRD) and intermittency.

The author proposes a new estimation method to simultaneously estimate both the LRD and intermittency parameter. An application of the proposed estimation method to a continuous-time financial model is discussed.

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