Sökning: "fractionally integrated process"

Hittade 2 uppsatser innehållade orden fractionally integrated process.

  1. 1. Investigating the Statistical Properties of the Hurst Exponent Estimator of Rough Volatility Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Saeedeh Ostovari; [2021-06-30]
    Nyckelord :fractional Brownian motion; rough stochastic volatility models; circulant embedding method; fractionally integrated process; Realized volatility;

    Sammanfattning : The aim of this thesis is to provide a characterization of the statistical properties of estimator of the Hurst parameter of the rough stochastic volatility model following fractional Brownian motion with Hurst index H. For this purpose, we perform a simulation experiment for fractional Brownian motion based on the circulant embedding method. LÄS MER

  3. 2. Is inflation mean-reverting?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Niclas Lavesson; [2011]
    Nyckelord :inflation; fractional integration; mean-reversion; unit root; Business and Economics;

    Sammanfattning : This paper investigates whether inflation series are mean-reverting. Traditional unit root tests (ADF and KPSS tests) are conducted in the paper. These tests indicate that inflation contains a unit root. LÄS MER