Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802): Difference between revisions
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Revision as of 08:57, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach |
scientific article |
Statements
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (English)
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5 September 2007
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consistency
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dependent noise
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discrete observation
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efficiency
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Itô process
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microstructure noise
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observation error
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rate of convergence
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realized volatility
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