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Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process

This paper discusses an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model obey fractional Ornstein-Uhlenbeck process. The method of estimation for all parameters in this model are derived. After, simulation experiments are condu...

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Main Authors: Alhagyan, Mohammed, Misiran, Masnita, Omar, Zurni
格式: Article
出版: Pushpa Publishing House 2020
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QA75 Electronic computers. Computer science
在线阅读:http://repo.uum.edu.my/27914/
http://doi.org/10.17654/AS062020203
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spelling my.uum.repo.279142020-11-25T00:59:26Z http://repo.uum.edu.my/27914/ Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process Alhagyan, Mohammed Misiran, Masnita Omar, Zurni QA75 Electronic computers. Computer science This paper discusses an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model obey fractional Ornstein-Uhlenbeck process. The method of estimation for all parameters in this model are derived. After, simulation experiments are conducted to examine the performance of the proposed estimators. The result shows that the proposed method provides efficient estimates for the parameters. Thus, the proposed model is promising and can apply in real financial environments. Pushpa Publishing House 2020 Article PeerReviewed Alhagyan, Mohammed and Misiran, Masnita and Omar, Zurni (2020) Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process. Advances and Applications in Statistics, 62 (2). pp. 203-226. ISSN 09723617 http://doi.org/10.17654/AS062020203 doi:10.17654/AS062020203
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutional Repository
url_provider http://repo.uum.edu.my/
topic QA75 Electronic computers. Computer science
spellingShingle QA75 Electronic computers. Computer science
Alhagyan, Mohammed
Misiran, Masnita
Omar, Zurni
Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process
description This paper discusses an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model obey fractional Ornstein-Uhlenbeck process. The method of estimation for all parameters in this model are derived. After, simulation experiments are conducted to examine the performance of the proposed estimators. The result shows that the proposed method provides efficient estimates for the parameters. Thus, the proposed model is promising and can apply in real financial environments.
format Article
author Alhagyan, Mohammed
Misiran, Masnita
Omar, Zurni
author_facet Alhagyan, Mohammed
Misiran, Masnita
Omar, Zurni
author_sort Alhagyan, Mohammed
title Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process
title_short Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process
title_full Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process
title_fullStr Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process
title_full_unstemmed Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process
title_sort efficient estimators for geometric fractional brownian motion perturbed by fractional ornstein-uhlenbeck process
publisher Pushpa Publishing House
publishDate 2020
url http://repo.uum.edu.my/27914/
http://doi.org/10.17654/AS062020203
_version_ 1685581071580659712
score 13.251813

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