64 citations · 320 across the 79 of their papers we have counts for
8 papers · 1 filter
Gaussian Volterra processes as models of electricity markets
Yuliya Mishura, Stefania Ottaviano, Tiziano Vargiolu
We introduce a non-Markovian model for electricity markets where the spot price of electricity is driven by several Gaussian Volterra processes, which can be e.g., fractional Brown…
A class of infinite-dimensional Gaussian processes defined through generalized fractional operators
Luisa Beghin, Lorenzo Cristofaro, Yuliya Mishura
The generalization of fractional Brownian motion in infinite-dimensional white and grey noise spaces has been recently carried over, following the Mandelbrot-Van Ness representatio…
From constant to rough: A survey of continuous volatility modeling
Giulia Di Nunno, Kęstutis Kubilius, Yuliya Mishura +1
In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the…
Parameter estimation in rough Bessel model
Yuliya Mishura, Anton Yurchenko-Tytarenko
In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian mot…
Fractional diffusion Bessel processes with Hurst index
Yuliya Mishura, Kostiantyn Ralchenko
We introduce fractional diffusion Bessel process with Hurst index , derive a stochastic differential equation for it, and study the asymptotic properties of its sa…
Low-dimensional Cox-Ingersoll-Ross process
Yuliya Mishura, Andrey Pilipenko, Anton Yurchenko-Tytarenko
The present paper investigates Cox-Ingersoll-Ross (CIR) processes of dimension less than 1, with a focus on obtaining an equation of a new type including local times for the square…
Gaussian Volterra processes: asymptotic growth and statistical estimation
Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
The paper is devoted to three-parametric self-similar Gaussian Volterra processes that generalize fractional Brownian motion. We study the asymptotic growth of such processes and t…
Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index
Anatoliy Malyarenko, Yuliya Mishura, Kostiantyn Ralchenko +1
This paper is devoted to the study of the properties of entropy as a function of the Hurst index, which corresponds to the fractional Gaussian noise. Since the entropy of the Gauss…