most citedAsymptotic theory of least squares estimators for nearly unstable processes under strong dependence

42 citations · 61 across the 3 of their papers we have counts for

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math.ST2007★ 42 cited

Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence

Boris Buchmann, Ngai Hang Chan

This paper considers the effect of least squares procedures for nearly unstable linear time series with strongly dependent innovations. Under a general framework and appropriate sc…

math.ST2007★ 5 cited

Fractional constant elasticity of variance model

Ngai Hang Chan, Chi Tim Ng

This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are estab…