A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987): Difference between revisions

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Latest revision as of 19:12, 1 July 2024

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A Fourier transform method for nonparametric estimation of multivariate volatility
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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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