A0806
Title: Likelihood-based analysis of general Gaussian processes having scaling properties
Authors: Tetsuya Takabatake - Hiroshima University (Japan) [presenting]
Abstract: Recent studies in mathematical finance and financial econometrics suggest that properties of the roughness of the sample path and the persistency of the auto-covariance function would be important factors in constructing better forecasting models of the volatility of asset prices. The log-volatility process is modeled as a general Gaussian process having scaling properties that capture the roughness and long-memory properties simultaneously and then discuss asymptotic properties of likelihood-based estimators for the log-volatility.
