A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987): Difference between revisions
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Revision as of 06:58, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Fourier transform method for nonparametric estimation of multivariate volatility |
scientific article |
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A Fourier transform method for nonparametric estimation of multivariate volatility (English)
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22 July 2009
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continuous semi-martingale
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instantaneous co-volatility
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nonparametric estimation
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Fourier transform
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high frequency data
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