Alexandra Chronopoulou, Ph.D.
Affiliations: | 2009 | Statistics | Purdue University, West Lafayette, IN, United States |
Area:
Statistics, MathematicsGoogle:
"Alexandra Chronopoulou"Parents
Sign in to add mentor| Frederi G. Viens | grad student | 2009 | Purdue | |
| (Variations and Hurst index estimation for self-similar processes.) | ||||
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Publications
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| Chronopoulou A, Spiliopoulos K. (2018) Sequential Monte Carlo for fractional stochastic volatility models Quantitative Finance. 18: 507-517 |
| Chronopoulou A, Fellouris G. (2013) Optimal sequential change detection for fractional diffusion-type processes Journal of Applied Probability. 50: 29-41 |
| Spiliopoulos K, Chronopoulou A. (2013) Maximum likelihood estimation for small noise multiscale diffusions Statistical Inference For Stochastic Processes. 16: 237-266 |
| Chronopoulou A, Tindel S. (2013) On inference for fractional differential equations Statistical Inference For Stochastic Processes. 16: 29-61 |
| Chronopoulou A, Viens FG. (2012) Stochastic volatility and option pricing with long-memory in discrete and continuous time Quantitative Finance. 12: 635-649 |
| Chronopoulou A, Viens FG. (2012) Estimation and pricing under long-memory stochastic volatility Annals of Finance. 8: 379-403 |
| Chronopoulou A. (2011) Parameter Estimation and Calibration for Long-Memory Stochastic Volatility Models Handbook of Modeling High-Frequency Data in Finance. 219-231 |
| Chronopoulou A, Viens FG, Tudor CA. (2009) Variations and Hurst index estimation for a Rosenblatt process using longer filters Electronic Journal of Statistics. 3: 1393-1435 |
| Chronopoulou A, Tudor CA, Viens FG. (2009) Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian processes Comptes Rendus Mathematique. 347: 663-666 |
| Chronopoulou A. (2009) Self-similarity/memory-length parameter estimation for non-gaussian hermite processes via chaos expansion Topics On Chaotic Systems - Selected Papers From Chaos 2008 International Conference. 79-86 |