38 citations · 55 across the 12 of their papers we have counts for
1 paper · 1 filter
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen +1
We develop a GMM approach for estimation of log-normal stochastic volatility models driven by a fractional Brownian motion with unrestricted Hurst exponent. We show that a paramete…