Nonparametric estimation of stochastic volatility models

DOI10.1016/j.econlet.2005.09.009zbMath1254.91758MaRDI QIDQ1929062

Roberto Renò

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.09.009

zbMATH Keywords

stochastic volatility; nonparametric estimation; realized volatility

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62G05: Nonparametric estimation

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Cites Work

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