Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach.

Elisa Alòs Kenichiro Shiraya

Published in: Finance Stochastics (2019)

Keyphrases

short term
stock market
long term
garch model
short term and long term
stock price
electric load forecasting
long term memory
medium term
forecasting model
motion prediction
short and long term
load forecasting
artificial neural networks
wind speed
power generation