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stat.ME2025
On goodness-of-fit testing for volatility in McKean-Vlasov models
Akram Heidari, Mark Podolskij
This paper develops a statistical framework for goodness-of-fit testing of volatility functions in i.i.d. McKean-Vlasov stochastic differential equations, which model large diffusi…
stat.ME2018
Estimation of the linear fractional stable motion
Stepan Mazur, Dmitry Otryakhin, Mark Podolskij
In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a…