Volatility occupation times (Q385768)

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Volatility occupation times
scientific article

    Statements

    title
    Volatility occupation times (English)
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    author
    Viktor Todorov
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    Jia Li
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    George Tauchen
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    publication date
    11 December 2013
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    zbMATH Keywords
    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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    Identifiers

    DOI
    10.1214/13-AOS1135
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    Mathematics Subject Classification ID
    62M05
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    62G05
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    62P05
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    60H30
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    62G07
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    62G20
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    zbMATH DE Number
    6237598
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