Statistical Methods in Finance 2018

Dec 17 - 20, 2018


Abstract

Asymptotic properties of the volatility estimator from high frequency data modeled by mixed fractional Brownian motion

by Ananya Lahiri

Properties of mixed fractional Brownian motion has been discussed by Cheridito (2001) and Zili (2006). We have proposed an estimator of volatility parameter for a model driven by MFBM, useful for modeling high frequency financial data. In this talk we have shown that the estimator has some desirable asymptotic properties. We will see some application too.