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Fractional stochastic volatility model
Journal article
Shi, Shuping, Liu, Xiaobin, Yu, Jun. Fractional stochastic volatility model[J]. Journal of Time Series Analysis, 2024.
Authors:
Shi, Shuping
;
Liu, Xiaobin
;
Yu, Jun
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TC[WOS]:
2
TC[Scopus]:
2
IF:
1.2
/
1.4
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Submit date：2024/06/03
Fractional Brownian Motion
Long Memory
Rough Volatility
Spectral Density
Stochastic Volatility
Variance–covariance Matrix
