2 papers
math.ST2025
Optimal Estimation for General Gaussian Processes
Tetsuya Takabatake, Jun Yu, Chen Zhang
This paper proposes a novel exact maximum likelihood (ML) estimation method for general Gaussian processes, where all parameters are estimated jointly. The exact ML estimator (MLE)…
q-fin.ST2025
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion
Markus Bibinger, Jun Yu, Chen Zhang
A multivariate fractional Brownian motion (mfBm) with component-wise Hurst exponents is used to model and forecast realized volatility (RV). We investigate the interplay between co…