42 citations · 61 across the 3 of their papers we have counts for
3 papers
math.PR2009★ 14 cited
Integrated functionals of normal and fractional processes
Boris Buchmann, Ngai Hang Chan
Consider , , , where is a normal process and is a measurable real-valued function satisfying $Ef(N_0)^…
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…