Volatility occupation times (Q385768): Difference between revisions
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| Property / author: Jia Li / rank | |||
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| Property / author: George Tauchen / rank | |||
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| Property / Mathematics Subject Classification ID: 62M05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G07 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G20 / rank | |||
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| Property / zbMATH DE Number: 6237598 / rank | |||
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| Property / zbMATH Keywords | |||
local approximations | |||
| Property / zbMATH Keywords: local approximations / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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spot variance | |||
| Property / zbMATH Keywords: spot variance / rank | |||
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quantiles | |||
| Property / zbMATH Keywords: quantiles / rank | |||
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nonparametric estimation | |||
| Property / zbMATH Keywords: nonparametric estimation / rank | |||
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high-frequency data | |||
| Property / zbMATH Keywords: high-frequency data / rank | |||
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Revision as of 13:49, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility occupation times |
scientific article |
Statements
Volatility occupation times (English)
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11 December 2013
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local approximations
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stochastic volatility
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spot variance
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quantiles
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nonparametric estimation
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high-frequency data
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