Essays about: "fractionally integrated process"

Found 2 essays containing the words fractionally integrated process.

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

    University essay from Göteborgs universitet/Graduate School

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

    Abstract : 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. READ MORE

  3. 2. Is inflation mean-reverting?

    University essay from Lunds universitet/Nationalekonomiska institutionen

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

    Abstract : 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. READ MORE