Parameter Estimation in Rough Bessel Model

In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with H<1/2. As an auxiliary result, we also prove the continuity of the fractional Bessel process. The results ar...

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Bibliographic Details
Published inFractal and fractional Vol. 7; no. 7; p. 508
Main Authors Mishura, Yuliya, Yurchenko-Tytarenko, Anton
Format Journal Article
LanguageEnglish
Published Basel MDPI AG 2023
Subjects
Analysis
Bessel process
Brownian motion
Financial markets
fractional Brownian motion
Parameter estimation
Process parameters
Random variables
Stochastic processes
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Summary:In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with H<1/2. As an auxiliary result, we also prove the continuity of the fractional Bessel process. The results are illustrated with simulations.
Bibliography:NFR/274410
ISSN:2504-3110
2504-3110
DOI:10.3390/fractalfract7070508